Stochastic Differential Equations

Објавено: February 28, 2019

Course: Stochastic Differential Equations

Code: 3ФЕИТ08030

ECTS points: 6 ЕКТС

Number of classes per week: 3+0+0+3

Lecturer: Prof. Dr. Biljana Jolevska – Tuneska

Course Goals (acquired competencies): The student is familiar with Itoh’s stochastic processes and integrals. The student knows how to solve simple stochastic differential equations and discuss the type of solution (weakly or strongly). The student can recognize a linear stochastic differential equation and vector stochastic differential equations.

Course Syllabus: Introduction to stochastic processes. Mathematical interpretation of equations involving noise. Martingal. Ito processes (stochastic integrals). One-dimensional and multi-dimensional Ito formula. Theorem on the existence and uniqueness of stochastic differential equations. Weak and strong solutions. Linear stochastic differential equation. Reduced stochastic differential equations. Some equations that are solved explicitly. Vector stochastic differential equations.


Required Literature







B. Oksendal Stochastic Differential Equations: An introduction with Applications, fourth edition Springer-Verlag 1996


A. Friedman Stochastic Differential Equations and Applications Dover books of mathematics 6