This email is to announce a Ph.D. course on
"Rough Paths and Stochastic Differential Equations"
in the framework of the Pavia - Milano Bicocca - Indam PhD program in Mathematics. The course is devoted to students interested in analysis and/or probability (see below for the abstract).
The course will last 30 hours and will be given in the period February-March 2017 at the University of Milano-Bicocca.
In order to fix the precise dates, we kindly ask all interested people to contact us by Tuesday 13 December 2016 and let us know of their engagements in that period.
Best regards, Francesco Caravenna and Gianmario Tessitore
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Title: Rough Paths and Stochastic Differential Equations
Place: University of Milano-Bicocca
Period: February-March 2017
Prerequisites: A basic knowledge of Holder functions and Brownian motion.
Abstract: This course is an introduction to rough paths, a modern theory which provides an analytic counterpart to the probabilistic theory of stochastic integration. Rough paths allow to define a notion of integral with respect to the derivative of a Holder function, generalizing the usual Riemann-Steltjes integral. A key motivation of rough paths is to shed new light on the stochastic integration with respect to Brownian motion and on the corresponding stochastic differential equations.
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Francesco Caravenna
Dipartimento di Matematica e Applicazioni Università degli Studi di Milano-Bicocca Via Cozzi 55, 20125 Milano, Italy
http://www.matapp.unimib.it/~fcaraven/ _________________________________________