Syllabus - Part I - Weeks 1 to 6
1) Differential Equations of first order
(linear, separable, exact, applications)
2) Theorem of Existence and Uniqueness of solution: Picard Theorem
3) Linear systems of differential equations and Phase portraits;
(general solution, equilibria, Lyapunov stability).
4) Differential equations of second order. General Methods.
Qualitative Theory of Differential Equations
(Poincaré-Bendixson Theorem on the plane, Hartman-Grobman Theorem, Fenichel Theory)
5) Calculus of Variations and Dynamical Optimization
(Euler Lagrange equation, Pontryagin maximum principle).
6) Test 1.
Syllabus - Part II - Weeks 7 to 12
7) Review on stochastic processes
8) The Wiener process
9) Diffusion processes and Stochastic integrals
10) Stochastic differential equations
11) Applications of stochastic differential equations
12) Stochastic optimal control