This
lecture was intended to be given at the SNSB, Bucharest, during the
third week of June 2009.
Lecture
Notes
Some
remarks:
This course is an introduction to the theory
of stochastic differential equations and diffusion semigroups. Some
parts of this course were already taught at the University of Purdue in
Spring 2009.
The heart of this course consists of Chapter 2, Chapter 3, Chapter 4
The Chapter 1 is assumed to be known from the student and will
not be covered in class. It is here as a reminder for the student.
Chapter 5, Chapter 6, Chapter 7 are an
introduction to more advanced topics.
Exercises
on Chapter 2
Exercises
on Chapter 3 and 4