Probability and Stochastic Processes

Course

Description

This course aims at presenting the mathematically rigorous concepts underlying classical continuous-time stochastic processes. In the first part of the course, some fundamental notions of modern probability measure theory are revised together with the notion of measure-theoretic derivative. Then, fundamental topics of stochastic processes, such as martingales, Kolmogorov’s extension and Brownian motions, will be presented.

Course period29/08/22 → …