Stochastic Calculus

Subject associations
ORF 527
Term
Spring 2022
Instructors
Registrar description

An introduction to stochastic calculus based on Brownian motion.Topics include:construction of Brownian motion; martingales in continuous time; the Ito integral; localization; Ito calculus; stochastic differential equations; Girsanov's theorem; martingale representation; Feynman-Kac formula.