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Applied Mathematics Course Spring 2003 |
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B. Piccoli
Istituto per le Applicazioni del Calcolo, Roma STOCHASTIC CONTROL We provide a short introduction to stochastic control. After recalling basic facts on random variables and Brownian motion, we illustrate Ito integral and calculus. Then Stochastic Differential Equations and controlled SDEs are treated. The course is ended by a brief sketch of Malliavin Calculus and existence of distributions for solution to SDEs. |