Stochastic Calculus and Applications Single channel

Chair (Coordinator) and Rapporteur: ANTONIO AGRESTI

Lecturers

ANTONIO AGRESTI

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.

  • Academic year2026/2027
  • Degree program to which the course belongsApplied Mathematics
  • 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