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