Course:
Introduction to Probability and Stochastic Processes
by Matteo Marsili
This course exposes the student to the basic notions of stochastic processes and to the recent applications in financial problems.
Main topics
Part A
- Law of large numbers
- Central limit theorems for Gaussian and Levy distributions, with application to the Random Energy Model
- Markov processes
- Chapman Kolmogorv theory
- Ito calculus
- Langevin equation
- Fokker-Planck equation and application
Part B
- Introduction to game theory and to economic equilibrium
- Stochastic processes and financial mathematics
- Application of statistical mechanics to interacting agent systems
|
|
