STOCHASTIC DIFFERENTIAL EQUATIONS, WITH NUMERICS

Second cycle degree in MATHEMATICAL ENGINEERING (Ord. 2017)

Campus: PADOVA

Language: English

Teaching period: Second Semester

Lecturer: TIZIANO VARGIOLU

Number of ECTS credits allocated: 9


Syllabus
Prerequisites: None
Examination methods: Final examination based on: Written and oral examination.
Course unit contents: 1. Introduction to martingales.
2. Brownian motion.
3. Ito's stochastic integral.
4. Ito's formula and Girsanov theorem.
5. Stochastic differential equations (Geometric Brownian motion, Ornstein-Uhlenbeck process, other).
6. Feynman-Kac's formula.
7. Monte Carlo simulation of SDEs.