Course No
M562
Credit
4
Approval
Syllabus
Brownian Motion, Martingale, Stochastic integrals, extension of stochastic integrals, stochastic integrals for martingales, Itˆo’s formula, Application of ItÔ’s formula, stochastic differential equations.
Reference Books
- H. H. Kuo, “Introduction to Stochastic Integration”, Springer, 2006.
- J. M Steele, “Stochastic Calculus and Financial Applications”, Springer-Verlag, 2001.
- F. C. Klebaner, “Introduction to Stochastic Calculus with Applications”, Imperial College, 2005.