Completing with success this course, the students must be able of:

1. Understand the fundamental concepts of measure theory and stochastic processes;
2. Understand the fundamental concepts of Wiener’s Process (brownian motion);
3. Use the Itô’s formula and understand its implications in the development of the theory;
4. Recognize in which situations it is advantageous to change the measure;
5. Make a decision, in a real situation, which SDE is more suitable for the phenomenon in question and be able to give an estimation of the parameters involved;
6. Make a qualitative and quantitative analysis of the stochastic model;
7. Understand the link between SDE and partial differential equations;
8. Perform computational simulation of the stochastic model.

Curricular Unit Form