Stochastic Calculus via Regularizations

- 1. Review on Basic Probability Theory. - 2. Processes, Brownian Motion and Martingales. - 3. Fractional Brownian Motion and Related Processes. - 4. Stochastic Integration via Regularization. - 5. Itô Integrals. - 6. Stability of the Covariation and Itô's Formula. - 7. Change of probability and martingale representation. - 8. About finite quadratic variation: examples. - 9. Hermite Polynomials and Wiener Chaos. - 10. Elements of Wiener Analysis. - 11. Elements of Non-causal Calculus. - 12. Itô Classical Stochastic Differential Equations. - 13. Itô SDEs with Non-Lipschitz Coefficients. - 14. Föllmer-Dirichlet Processes. - 15. Weak Dirichlet Processes. - Stochastic Calculus with n-Covariations. - Calculus via Regularization and Rough Paths.

Francesco Russo studied at the EPFL Lausanne and he obtained his PhD on ''Markov random fields". Then he spent several postdocs in Bielefeld, Bonn and ENST Paris (now Telecom Paris). Since then he has been active in various subjects of stochastic analysis with some interests in applications to mathematical physics, mathematical finance and energy management. He has coorganized many conferences in stochastic analysis and in particular the so called "Ascona Conference" which has been quite influencial. He was coeditor of eight volumes of proceedings of that conference, published by Birkhäuser. He has had regular collaborations with many international institutions such as the University of Bielefeld, the EPFL Lausanne, the University of Campinas (Brazil), the Luiss University in Rome. He was professor at the university of Paris 13 for almost 15 years where he directed the probability and statistics research time and he contributed to the development of probability thereby andhe spent two years in the research institution Inria Rocquencourt and in Ecole des Ponts ParisTech. Pierre Vallois started his research career at the Laboratoire de Probabilités in Paris VI. He then held a professorship at the University Henri Poincaré (now the University of Lorraine) and carried out his research at the Institut Elie Cartan de Lorraine, where he had several responsibilities. He was head of the probability and statistics team contributing significantly to its development organizing 6 probability meetings. He was in charge of the mathematics department in the Faculty of Science and Technology. He was director of the Charles Hermite Federation, which promotes multidisciplinary collaborations between mathematics, computer science and automation, organizing three forums with industrialists. Since 2018 he is professor emeritus. His research topics are various: Brownian motion, Lévy and diffusion processes, generalized stochastic calculus andBrownian penalization. Since