Enrollment year
2018/2019
Academic discipline
MAT/06 (PROBABILITY AND MATHEMATICAL STATISTICS)
Department
DEPARTMENT OF MATHEMATICS "FELICE CASORATI"
Curriculum
PERCORSO COMUNE
Period
2nd semester (04/03/2019 - 14/06/2019)
Lesson hours
48 lesson hours
Prerequisites
The courses of Probability and Functional Analysis of the Laurea Magistrale.
Learning outcomes
This course is the natural continuation of "Probability" (Laurea Magistrale). The objectives are, on the one hand, the theoretical studio of the stochastic processes and, on the other hand, the applicability of such a theory. At the end of the course, the student should be able to make simple computations with stochastic processes and should be able to model some concrete problems within such a theory.
Course contents
1. General notions about stochastic processes.
2. Markov chain.
3. Poisson process.
3. Brownian motion or Wiener process.
4. Introduction to the stochastic Ito calculus with respect to the Wiener process.
Teaching methods
Lectures. (Exercises will be also discussed during the course).
Reccomended or required readings
1. Markov Chains,
J. R. Norris, Cambridge University Press.
2. Stochastic Calculus: An Introduction Through Theory and Exercises, P. Baldi, Springer
Assessment methods
Oral examination. During the examination, the solution of a exercise will be also considered.
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