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Glossary
Semester (Sem)
1First Semester
2Second Semester
AAnnual course
Educational activities
BIdentifying activities
Language
Course completely offered in italian
Course completely offered in english
--Not available
Innovative teaching
The credits shown next to this symbol indicate the part of the course CFUs provided with Innovative teaching.
These CFUs include:
  • Subject taught jointly with companies or organizations
  • Blended Learning & Flipped Classroom
  • Massive Open Online Courses (MOOC)
  • Soft Skills
Course Details
Context
Academic Year 2019/2020
School School of Industrial and Information Engineering
Name (Master of Science degree)(ord. 270) - MI (487) Mathematical Engineering
Track MST - Applied Statistics
Programme Year 1

Course Details
ID Code 095975
Course Title STOCHASTIC DIFFERENTIAL EQUATIONS
Course Type Mono-Disciplinary Course
Credits (CFU / ECTS) 8.0
Semester First Semester
Course Description Martingales. Wiener process and white noise. Stochastic integral and Ito formula. Stochastic differential equations; types of solutions; existence and uniqueness. Changes of measure; Girsanov theorem. Feynman-Kac formula. Kolmogorov and Fokker-Planck equations.
Scientific-Disciplinary Sector (SSD)
Educational activities SSD Code SSD Description CFU
B
MAT/06
PROBABILITY AND STATISTICS
8.0

Schedule, add and removeAlphabetical groupProfessorLanguageTeaching Assignment Details
From (included)To (excluded)
--AZZZZConfortola Fulvia
manifesti v. 3.5.10 / 3.5.10
Area Servizi ICT
30/11/2023