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Docente
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BALDI PAOLO
(programma)
Program
Brownian motion, definitions and general facts; main properties, asymptotics, invariance, stopping rules.
Continuous time martingales (discrete time martingales and conditional expectations are assumed to be already known and will be briefly recalled)
Markov processes, Diffusion processes.
Stochastic integral: definitions, main properties. Ito formula and applications.
Differenziali Stochastic differential equations: existence and uniqueness, Markov property, diffusions, stochastic representation of the solutions of partial differential problems
 Notes and e lists of exercises (in english) will be distributed.
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