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Stochastic Calculus

ORF 527

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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.
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Section L01

  • Type: Lecture
  • Section: L01
  • Status: O
  • Enrollment: 22
  • Capacity: 48
  • Class Number: 41470
  • Schedule: TTh 03:00 PM-04:20 PM