Online Course "Introduction to Stochastic Differential Equations"

From 03 April to 29 May professor of the University of Leeds (UK) Alexander Veretennikov delivered an online course «Introduction to Stochastic Differential Equations»

Program of the course:

1. Wiener process. Ito integral and its properties. Ito formula. Martingale inequalities.
2. Stochastic differential equations. Weak and strong solutions.
3. The exponential formula and Girsanov's theorem.
4. Relation between stochastic differential equations and partial differential equations.
5. Markov property of solutions to SDE.
6. Ergodic properties of Markov solutions to SDE.

Course materials:
sde20-le1_Ito theorem.pdf sde20-le2Girsanov.pdf sde20-le3PDEs.pdf sde20-le4PDEs2a.pdf sde20-le5a_continuity.pdf sde20-le5b_Markov.pdf sde20-le6 Markov and weak uniqueness.pdf sde20-le7 PDEs & SDEs.pdf sde20-le8 recurrence&convergence.pdf sde20-le9 multidimensional.pdf sde20-le10.pdf