Stochastic Calculus
ORF 527
1214
1214
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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