Different versions of Feynman-Kac formulas for solving PDE's.

Discussion of exercises on Feynman-Kac formulas. 

Introduction to Girsanov Theorem. 

Infinitesimal generators of Diffusion processes. Examples. 

The Feynman-Kac formula. Example. 

The notion of weak solution: brief desciption. 

Discussion of exercises on Stochastic Differential Equations. 

Non-linear SDE's solvable by using an integration factor. Example. 

General linear one-dimensional SDE's: method of solution. Example. 

Existence and uniqueness of solutions theorem for one-dimensional SDE's with non-Lipschitz diffusion coefficient. Application to the CIR model of interest rates.