Subjects

Your browser does not support JavaScript, or its support is disabled. Some features may not be available.

Advanced Theory of Stochastic Differential Equations - NMTP604

Title:	Pokročilé partie stochastických diferenciálních rovnic
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2014 to 2014
Semester:	summer
E-Credits:	3
Hours per week, examination:	summer s.:2/0, Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	not taught
Language:	Czech
Teaching methods:	full-time
Teaching methods:	full-time

Guarantor:	prof. RNDr. Bohdan Maslowski, DrSc.
Class:	Pravděp. a statistika, ekonometrie a fin. mat.

Opinion survey results Examination dates Schedule Noticeboard

Annotation -

Last update: T_KPMS (01.06.2016)

The subject aims at extending the knowledge of students so that they would be able to work independently on the field of stochastic differential equations. The emphasis is put on the presentation of the theory of stochastic evolution equations, in particular, on the semigroup approach to stochastic differential equations in Hilbert spaces and differences between this theory and the classical approach to (finite-dimensional) stochastic differential equations. For PhD students.

Aim of the course -

Last update: T_KPMS (06.05.2014)

Students will get acquainted with basics of the theory of stochastic evolution equations. As the basic method stochastic analysis in infinite dimensional state spaces is used.

Literature - Czech

Last update: T_KPMS (06.05.2014)

1. G. Da Prato, J. Zabczyk: Stochastic Equations in Infinite Dimensions, Cambridge Univ. Press, Cambridge, 1992 (1. Edition)

2. A. Pazy: Semigroups of Linear Operators and Applications to Partial Differential Equations, Springer-Verlag, 1983 (1. Edition)

3. I. Karatzas, S.E.Shreve: Brownian Motion and Stochastic Calculus, Springer-Verlag, 1988 (1. Edition)

Teaching methods -

Last update: T_KPMS (06.05.2014)

Lecture.