Stochastic Differential Equations

Descipline Stochastic Differential Equations
Faculty Faculty of Mechanics and Mathematics
Faculty URL
Language English
Degree Master
Credits 3
Semester 3
Description The course includes the theoretic background in the theory of Stochastic Differential Equations, and the practical methods for finding their solutions. We investigate the methods of proving the existence and uniqueness of the solution to a stochastic differential equation, in particular, the equation with respect to martingales and semi-martingales. Special attention is paid to the proof of existence and uniqueness of strong and weak solutions, and to the methods of finding these solutions. Also, the relation to partial differential equations is investigated.
Teachers Borysenko Oleksandr
Department of Probability Theory, Statistics and Actuarial Mathematics,
Faculty of Mechanics and Mathematics,
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