ISTITUZIONI DI FISICA MATEMATICA

Degree course: 
Corso di First cycle degree in MATHEMATICS
Academic year when starting the degree: 
2019/2020
Year: 
3
Academic year in which the course will be held: 
2021/2022
Course type: 
Compulsory subjects, characteristic of the class
Credits: 
8
Period: 
Second semester
Standard lectures hours: 
64
Detail of lecture’s hours: 
Lesson (64 hours)
Requirements: 

The contents of the course ANALYTIC AND PROBABILISTIC METHODS IN MATHEMATICAL PHYSICS A

oral examination

Assessment: 
Voto Finale

The course aims to provide an introduction to the theory of continuous-time stochastic processes, in particular to the connection between Brownian motion and the heat equation

Brownian motion. The Wiener measure. Properties of the Brownian paths. Markov processes. Markov semi-groups and their generators. Diffusion processes. Probabilistic solution of the Dirichlet problem for the Laplace equation. Probabilistic solution of the Cauchy-Dirichlet problem for the heat equation. The Feynman-Kac formula. Stochastic calculus,stochastic differential equations

Notes provided by the lecturer

Frontal lessons

Professors

POSILICANO ANDREA