Selected topics on stochastic analysis - NSTP241
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The course focuses on two topics: a) weak solutions to stochastic differential equations (existence of solutions to equations
with a bounded Borel drift, subjected to an additive noise, and to equations with continuous coefficents, uniqueness of
solutions in law and pathwise), b) qualitative properties of solutions (various types of Lyapunov stability).
Last update: T_KPMS (10.04.2009)
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The goal of the course is to present some more advanced topics in stochastic analysis, related to the theory of stochastic differential equations.
Last update: T_KPMS (10.04.2009)
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I. Karatzas, S. Shreve: Brownian motion and stochastic calculus, Springer, New York 1991 D. W. Stroock: Lectures on stochastic analysis: Diffusion theory, Cambridge Univ. Press, Cambridge 1987 Last update: T_KPMS (10.04.2009)
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Lecture. Last update: G_M (27.05.2009)
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1. Girsanov's theorem and equations with a bounded Borel drift 2. Weak solutions to equations with continuous coefficients 3. Uniqueness of solutions and the Yamada-Watanabe theory 4. Stability of solutions in quadratic mean, in probability, and almost surely
Last update: T_KPMS (10.04.2009)
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