2016/2017

2016/2017

DM270

MAT/06 (PROBABILITY AND MATHEMATICAL STATISTICS)

DEPARTMENT OF MATHEMATICS "FELICE CASORATI"

MATHEMATICS

PERCORSO COMUNE

1°

2nd semester (01/03/2017 - 09/06/2017)

6

48 lesson hours

ITALIAN

ORAL TEST

RIGO PIETRO (titolare) - 6 ECTS

The course "Probability" of the Laurea Magistrale. As a consequence, "Stochastic Processes" is not suggested to students of the Laurea Triennale.

This course is the natural continuation of "Probability" (Laurea Magistrale). The characteristic arguments are Markov chains and Itô calculus.

1. General notions about stochastic processes;

2. Continuous time martingales;

3. Markov chains;

4. Brownian motion and Poisson process;

5. Ito calculus and stochastic differential equations.

Lessons. (Exercises will be also discussed during such lessons).

1. Z. Brzezniak, T. Zastawniak: Basic stochastic processes-a course through exercises (Springer)

2. A. Shiryaev: Probability (Springer)

3. Notes given by the teachter

Oral examination.

None.