Università degli Studi di Pavia

Dipartimento di Matematica ''F. Casorati''

HomeTeachingCourses › Stochastic ProcessesIT|EN

Stochastic Processes

Professors:
Ferrario Benedetta
Year:
2015/2016
Course code:
500692
ECTS:
6
SSD:
MAT/06
DM:
270/04
Lessons:
48
Period:
II semester
Language:
Italian

Objectives

This course is the natural continuation of "Probability" (Laurea Magistrale). The characteristic arguments are Markov chains and the continuous time martingales.

Teaching methods

Lessons.

Examination

Oral examination.

Prerequisites

The course "Probability" of the Laurea Magistrale. As a consequence, "Stochastic Processes" is not suggested to students of the Laurea Triennale.

Syllabus

1. General notions on stochastic processes

2. Continuous time martingales

3. Markov chains

4. Brownian and Poisson processes

5. Ito calculus and stochastic differential equations

Bibliography

Z. Brzezniak, T. Zastawniak: Basic stochastic processes-a course through exercises (Springer)

A. Shiryaev: Probability (Springer)


Dipartimento di Matematica ''F. Casorati''

Università degli Studi di Pavia - Via Ferrata, 5 - 27100 Pavia
Tel +39.0382.985600 - Fax +39.0382.985602