Mini course announcement
Prof. Viorel Barbu [ Romanian Academy and University Al.I.Cuza ] will give a mini course on SDEs, SPDEs and applications, at the Department of Computer Science, University of Verona, with the following calendar of lessons
Monday: 20/4 - 27/4 - 4/5
Wednesday: 22/4 - 29/4
All the lessons will start at 14:30 with a forecasted duration of 3 hours each.
Possible additional lessons will be decided during the course.
The tentative programme is the following:
1) STOCHASTIC DIFFERENTIAL EQUATIONS Existence theory, examples to stock prices, Langevin equation, Ornstein-Uhlenbeck processes,Feynman-Kac formula
2) APPLICATIONS TO CONTROL PROBLEMS Stochastic HJB and stochastic control problems
3) STOCHASTIC PARTIAL DIFFERENTIAL EQUATIONS Infinite dimensional stochastic integral, Stochastic linear diffusion equation, stochastic reaction diffusion equation,stochastic porous media equation
All the lessons will be given here
Strada le Grazie, 15 - 37134 Verona VR Ca' Vignal 2, first floor , Room M.
Do not hesitate to contact me for further details: luca.dipersio@univr.it
LuCa __ Luca Di Persio - PhD assistant professor of Probability and Mathematical Finance
Dept. Informatics University of Verona strada le Grazie 15 - 37134 Verona - Italy Tel : +39 045 802 7968
Dept. Math University of Trento V. Sommarive, 14 - 38123 Povo - Italy Tel : +39 0461 281686