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Stochastic Calculus

ORF 527

1254
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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.
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Section L01

  • Type: Lecture
  • Section: L01
  • Status: O
  • Enrollment: 0
  • Capacity: 48
  • Class Number: 40485
  • Schedule: MW 11:00 AM-12:20 PM