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CZECH TECHNICAL UNIVERSITY IN PRAGUE
STUDY PLANS
2024/2025

Stochastic Differential Equations

The course is not on the list Without time-table
Code Completion Credits Range
01SDR ZK 2 2P+0C
Garant předmětu:
Lecturer:
Tutor:
Supervisor:
Department of Mathematics
Synopsis:

The class is devoted to an introduction to stochastic differential equations and their applications. The content includes

stochastic processes, Itô integral and solution of stochastic differential equations. The applications in filtering, diffusion

and optimal control are mentioned as well.

Requirements:
Syllabus of lectures:

1. Stochastic analogue of differential equations

2. Motivating examples

3. Probability spaces and stochastic processes

4. Itô integrals and formula

5. Representation theorem

6. Solution of stochastic differential equations

7. Problems of filtering and diffusion

8. Applications in optimálcontrol and Hamilton-Jacobi-Bellman equation

Syllabus of tutorials:
Study Objective:
Study materials:

Key references:

[1] Øksendal B. Stochastic Differential Equations, An Introduction with Applications, Springer Verlag, Heidelberg 2003

[2] Evans L. C. An Introduction to Stochastic Differential Equations , American Mathematical Society, Boston 2014

Recommended references:

[6] Panik M. J. Stochastic Differential Equations, John Wiley & Sons, New York, 2017

[7] Liu W. Stochastic Partial Differential Equations: An Introduction, Springer Verlag, Heidelberg 2015

Note:
Further information:
No time-table has been prepared for this course
The course is a part of the following study plans:
Data valid to 2024-05-27
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