This is a standard course on the subject. The main arguments are Brownian motion, martingales, Ito integration and introduction to stochastic differential equations. This is the only course in advanced probability of the degree in mathematics, so from that point of view it must be and truly is self-contained. Nevertheless, since some topics are quite advanced, a thorough understanding of probability theory is an expected prerequisite. Gain a good theoretical understanding of stochastic processes and the ability to study simple stochastic differential equations in a qualitative and quantitative way, both in the field of pure research and in industrial applications for example in finance and in the modeling of noisy systems. Measure spaces, probability spaces, Borel-Cantelli lemmas, random variables, mathematical expectation, modes of convergence for random variables, L p spaces.

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You already recently rated this item. Your rating has been recorded. Write a review Rate this item: 1 2 3 4 5. Preview this item Preview this item. Equazioni differenziali stocastiche e applicazioni Author: Paolo Baldi, matematico. Publisher: Bologna : Pitagora, Series: Quaderni dell'Unione matematica italiana , Subjects Equazioni differenziali stocastiche. Processo stocastico. More like this Similar Items. Allow this favorite library to be seen by others Keep this favorite library private.

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Equazioni differenziali stocastiche e applicazioni



Stochastic calculus


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