77941 - Stochastic Differential Equations

Learning outcomes

At the end of the course the student will know the basics of stochastic Ito calculus and the link between stochastic analysis and deterministic partial differential equations.

Course contents

The course contains an introduction to the theory of stochastic differential equations and partial differential equations of elliptic-parabolic type arising from some classical kinetic models from physics and finance. Pre-requirements are the institutional courses of mathematical analysis, in particular the multidimensional differential calculus and the theory of Lebesgue integral.

Readings/Bibliography

A. Pascucci, PDE and Martingale methods in option pricing [http://www.springer.com/mathematics/quantitative+finance/book/978-88-470-1780-1], & Series [http://www.springer.com/series/8762], 2010

Teaching methods

Classroom lectures

Assessment methods

At the end of the course each student will take an oral exam in which he will answer questions about the subjects covered in the program.

Teaching tools

Theoretical and computer exercises.

Links to further information

https://docs.google.com/document/d/1gz-c6oXcJh5barNGeJ5-0uqZs2O806CcZDCxNFassoU/edit?usp=sharing

Office hours

See the website of Andrea Pascucci