Stochastic Calculus and Applications Single channel
Chair (Coordinator) and Rapporteur: LORENZO BERTINI MALGARINI
Objectives
Knowledge and understanding:Successful students will learn various characterizations of Brownianan motion, the fundamental properties of diffusion processes and the main results of stochastic calculus, including the Ito formula.Skills and attributes:Successful students will be able to apply stochastic calculus in various applications, from mathematical finance to physics and biology.
Learning outcomes
http://www.mat.uniroma1.it/people/bertini/ama/didattica/calcstoc/
Prerequisites
http://www.mat.uniroma1.it/people/bertini/ama/didattica/calcstoc/
Programme
http://www.mat.uniroma1.it/people/bertini/ama/didattica/calcstoc/
Books
http://www.mat.uniroma1.it/people/bertini/ama/didattica/calcstoc/
Lessons mode
http://www.mat.uniroma1.it/people/bertini/ama/didattica/calcstoc/
Frequency
http://www.mat.uniroma1.it/people/bertini/ama/didattica/calcstoc/
Exam mode
http://www.mat.uniroma1.it/people/bertini/ama/didattica/calcstoc/
Example exam questions
http://www.mat.uniroma1.it/people/bertini/ama/didattica/calcstoc/
- Academic year2024/2025
- Degree program to which the course belongsMathematics
- Lesson code10605751
- Year and semester2nd year - 1st semester
- Activity typeAttività formative affini ed integrative
- Academic areaAttività formative affini o integrative
- SSDMAT/06
- Mandatory presenceNo
- Languageeng
- CFU6 CFU
- Total duration48 hours
- Hours distribution48 classroom hours