Graduate / PhD course

THEORY OF STOCHASTIC PROCESSES (I)

The course is intended as an Introduction to Diffusion Processes and Stochastic Equations.

The basic books for this course are

"A Course in the Theory of Stochastic Processes" by A.D. Wentzell,

and

" Brownian Motion and Stochastic Calculus" by I. Karatzas and S. Shreve.