- Docente: Andrea Pascucci
- Credits: 6
- SSD: MAT/06
- Language: Italian
- Moduli: Andrea Pascucci (Modulo 1) Andrea Cosso (Modulo 2)
- Teaching Mode: Traditional lectures (Modulo 1) Traditional lectures (Modulo 2)
- Campus: Bologna
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Corso:
Second cycle degree programme (LM) in
Mathematics (cod. 8208)
Also valid for Second cycle degree programme (LM) in Mathematics (cod. 5827)
Learning outcomes
At the end of the course, the students know the fundamentals of stochastic calculus, of the theory of stochastic differential equations and the links with the theory of elliptic-parabolic and first order partial differential equations. They know how to apply the acquired knowledge to solve, also numerically, various types of problems inherent to some classical kinetic models of physics and other applications in finance, engineering, biology etc.
Course contents
The course is divided into two modules:
1. Kolmogorov backward and forward equations. Langevin's equation, control theory and Hormander's operators. Introduction to stochastic equations with partial derivatives. Applications to stochastic filtering theory.
2. Introduction to stochastic optimal control.
More information is available at the webpage.
Readings/Bibliography
Material, handouts and bibliographical references will be provided.
A. Pascucci, PDE and Martingale methods in option pricing. Bocconi & Springer Series (2010)
Teaching methods
Head-on classes.
Assessment methods
Written test and possibly oral test.
Teaching tools
See the webpage of the course.
Links to further information
https://1drv.ms/w/s!AqFHqfUowiJlkJMcvKTQGXWHkaCqbA?e=X5V7nG
Office hours
See the website of Andrea Pascucci
See the website of Andrea Cosso