Zapraszamy studentów studiów magisterskich oraz doktorantów na dwa wykłady dr. Stavrosa Vakeroudisa (Uniwersytet Ateński), realizowane w ramach programu Erasmus.

Title: Stochastic Calculus and Windings of Stochastic Processes

Terminy i miejsca:

• Poniedziałek, 8 czerwca, godz. 13:15 – sala A.4.1, budynek C-19
  
• Wtorek, 9 czerwca, godz. 13:15 – sala A.1.14, budynek C-19

Abstract:

In these lectures, we will start with an introduction/reminder on Stochastic Calculus (martingales, Brownian motion, Stochastic Integral, Stochastic Differential Equations), and then we will proceed to the Windings. We will start with planar Brownian motion windings (where we use the skew-product representation of planar Brownian motion and Bougerol's identity in law) and of other Stochastic processes, including Lévy processes (where the approach for the windings of planar Brownian motion cannot be applied). Then, we will briefly discuss higher-dimensional windings. Finally, we will see some applications in financial mathematics and in computational biology.