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Stochastic Processes II

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This is a second course in stochastic processes, focused on stochastic calculus with respect to a large class of semi-martingales and its applications to topics selected from classical analysis (linear PDE), finance, engineering, and statistics.

Text: 

Diffusion Processes and Stochastic Calculus, Baudoin, European Mathematical Society, 2014

Prerequisite: 
Credit Hours: 
3

This is a second course in stochastic processes, focused on the stochastic calculus with respect to Brownian motion and its applications to topics selected from classical analysis (linear PDE), finance and engineering.  The course will start with basic properties of  Brownian motion,  martingales and Markov processes and then develop into the core program on Ito’s stochastic calculus and stochastic differential equations. These techniques provide useful and important tools and models in many pure and applied areas. 

 

(Nualart 2018 )

Frequency: 
Every Fall Semester

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