Diffusion Processes. Scientific Workshop on Probability Theory and Mathematical Statistics.

Descipline Diffusion Processes. Scientific Workshop on Probability Theory and Mathematical Statistics.
Faculty Faculty of Mechanics and Mathematics
Faculty URL http://www.mechmat.univ.kiev.ua/en
Language English
Degree Master
Credits 3
Semester 3
Description The training course includes notions of diffusion process, Wiener process, Ito integral, Ito formula for stochastic differential of composition, stochastic differential equations with Wiener process, properties of solutions to stochastic differential equations, Dynkin formula, Feynmann-Kac formula, optimal control of diffusion processes.
A student or a group of at most three students conduct a project in Probability Theory and Mathematical Statistics. Each project is described
within a short report and the results are orally presented.
Teachers Shevchenko Georgiy
Department of Probability Theory, Statistics and Actuarial Mathematics,
Faculty of Mechanics and Mathematics,
Phone:
+380442590392
e-mail:
zhora@univ.kiev.ua
Author: admin