Stochastic Calculus
ORF 527
1254
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