Stochastic Processes / Stochastic Calculus

• instructor: Giovanni Pistone
• when: May 2016 Mon-Tue 18:30 - 20:30, but the last lecture is moved from Tue May 31 to Wed June 8 2016 18:30 - 20:30;
• where: Collegio Carlo Alberto Room 4

This year the course covers 3 topics:

• Recap and special topics for the Gaussian distribution;
• Foudations of Wiener and Ito Calculus;
• A specialised topic to be decided.

Handouts

• Week 1 1-dimensional Gaussian Space ;
• Week 2 Multivariate Gaussian Distribution .
• Week 3 Wiener process and Wiener integral and Notes .
• Week 4 Ito calculus .

Textbooks

[1] D. Williams (1991) Probability with Martingales CUP

[2] R.S. Liptser & A.N. Shityaev (2010) Chapter 4 of Statistics of Random Process. 1 General Theory 2nd Ed. Springer

Lecture notes and detailed references will be provided when needed.

The exam is based on the evaluation of the class interaction and of the weakly individual homeworks. There will be a short final discussion of the papers.

The course starts on May 2nd.

Last modified: (2016-05-21 11:55:08 CEST)