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Délia Boino
Submitted by dboino on 3 April 2021
Intended learning outcomes

Completing with success this course, the students must be able of:

  1. Understand the fundamental concepts of measure theory and stochastic processes;
  2. Understand the fundamental concepts of Wiener’s Process (brownian motion);
  3. Use the Itô’s formula and understand its implications in the development of the theory;
  4. Recognize in which situations it is advantageous to change the measure;
  5. Make a decision, in a real situation, which SDE is more suitable for the phenomenon in question and be able to give an estimation of the parameters involved;
  6. Make a qualitative and quantitative analysis of the stochastic model;
  7. Understand the link between SDE and partial differential equations;
  8. Perform computational simulation of the stochastic model.


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