An Introduction to Stochastic Differential Equations
Abstract
The aim of the mini course is to give a self-consistent introduction
into the basic theory about Stochastic Differential Equations (SDE) driven
by the Brownian motion. The following topics are planed:
- Brownian motion
- Stochastic integration with respect to the Brownian motion
- Ito's formula
- Existence and uniqueness of solutions to SDEs
under Lipschitz conditions
- Feynman-Kac theory for parabolic PDEs
Problems
Teaching material