An introduction to stochastic differential equations

  • lectures by Stefano Pagliarani
  • 14–16 February 2024
  • Sala riunioni, DMIF; Microsoft Teams

Program

  • Wednesday 14 February 2024, 14:30–16:30: Introduction and elements of Ito calculus
  • Thursday 15 February 2024, 09:00–11:00: Strong and weak well-posedness of stochastic differential equations
  • Thursday 15 February 2024, 15:30–17:30: Link with Markov processes and PDEs
  • Friday 16 February 2024, 09:00–11:00: Numerical methods

If you want to attend the course via Microsoft Teams, please write to ().

The course is offered by the PhD course in Mathematical and Physical Sciences of the University of Udine.
Course page: https://www.dmif.uniud.it/dottorato/smf/offerta-didattica/an-introduction-to-stochastic-differential-equations/.

Stefano Pagliarani

Stefano Pagliarani is Associate professor in Probability and statistics at the University of Bologna (I). His research focuses on the study of several aspects of stochastic differential equations and their related Kolmogorov operators, including well-posedness, optimal regularity, asymptotic analysis, analytical and numerical approximations, and of their applications to mathematical finance. (https://www.unibo.it/sitoweb/stefano.pagliarani9)

This event has been updated.