2013至2014学年第2学期.docVIP

20 13 至20 14 学年第 2 学期 研究生教学日历 课程名称： 随机微分方程 学时：60 使用教材：stochastic differential equations 教师姓名：李志民 任课专业：应用数学13级 硕士点负责人签字： 年 月 日 所在学院：数理学院 院长签字： 年 月 日 安徽工程大学 讲 次 周 次 日/月 内容（讲授、研讨课、实验课等） 教材 章节 学时分配 讲授 研讨 实验 上机 1 Introduction, probability space, random variables and stochastic process 1.1-1.6 2.1 2 2 An important example: Brownian motion 2.2 2 3 Construction of Ito integral 3.1 2 4 Some properties of the Ito integral 3.2 2 5 The 1-dimensional Ito formula 4.1 2 6 The martingale representation theorem 4.3 2 7 Examples and some solution methods 5.1 2 8 An existence and uniqueness result, weak and strong solutions 5.2 5.3 2 9 Introduction to filtering problem, the 1-dimensional linear filtering problem 6.1 6.2 2 10 the 1-dimensional linear filtering problem 6.2 2 11 The multidimensional linear filtering problem 6.3 2 12 The markov property and strong markov property 7.1 7.2 2 13 The generator of an Ito diffusion 7.3 2 14 The Dynkin formula, the characteristic operator 7.4 7.5 2 15 Kolmogorov’s backward equation.the resolvent 8.1 2 16 The Feyman-Kac formula.killing 8.2 2 17 The martingale problem, when is an Ito process a diffusion? 8.3 8.4 2 18 Random time change 8.5 2 19 The Girsanov theorem 8.6 2 20 The combined Dirichlet-Poisson problem. uniqueness 9.1 2 21 Dirichlet-Poisson problem. regular points 9.2 2 22 The poisson problem 9.3 2 23 Application to optimal stopping. the times-homogeneous case 10.1 2 24 Application to optimal stopping. the times-homogeneous case 10.1 2 25 The times-inhomogeneous case, optimal stopping problems involving an integral 10.2 10.3 2 26 Connection with variational inequalities 10.4 2 27 Market, portfolio and arbitrage 12.1 2 28 Attainability and completeness 12.2