Stochastic Calculus
Jeremy Quastel
Tuesdays 2-5, in BA 6183
First class Tuesday, January 8

Brownian motion, stochastic integrals, stochastic differential equations, diffusions, Cameron-Martin-Girsanov formula, diffusion approximations, applications. The course will be mathematically rigorous and self-contained.

Prerequisite: No explicit prerequisites, but to understand the material, it is necessary to have a good understanding at the advanced undergraduate level of at least one of the following: Probability, Real Analysis, Differential Equations, Mathematical Finance.


no comment as of now

Sorry, comments closed.