UNIVERSITÀ DI PAVIA

Dipartimento di Matematica ''F. Casorati''

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Stochastic Processes

Professors:
Rigo Pietro, Dolera Emanuele
Year:
2017/2018
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 Itô calculus.

Teaching methods

Lessons.

Examination

Oral examination.

Prerequisites

The course "Probability" of the Laurea Magistrale. As a consequence, "Stochastic Processes" is not recommended 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. Itô calculus and stochastic differential equations

Bibliography

E. Çinlar: Probability and stochastics, Springer, (2011); I. Karatzas, S. Shreve: Brownian motion and stochastic calculus, Springer, (1998).

Modules

Professor:
Rigo Pietro
Lessons:
24
ECTS:
3

Professor:
Dolera Emanuele
Lessons:
24
ECTS:
3


Dipartimento di Matematica ''F. Casorati''

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