Skip to main content
Princeton Mobile homeCourses home

Stochastic Calculus

ORF 527

Info tab content
This course is an introduction to stochastic calculus for continuous processes. The main topics covered are: construction of Brownian motion, continuous time martingales, Ito integral, localization, Ito calculus, stochastic differential equations. Girsanov theorem, martingale representation, Feynman-Kac formula. If time permits, a brief introduction to stochastic control will be given.
Instructors tab content
Sections tab content

Section L01