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MATH510 - Stochastic Analysis II

Continuous semimartingales and quadratic variation. Stochastic integrals for continuous semimartingales. Ito's formula. Change of probability measure (Girsanov transformation). Martingale representation theorem for Brownian filtrations. Stochastic differential equations, diffusions. Introduction to discontinuous semimartingales with emphasis on Poisson processes. Prerequisites: MATH 505 or consent of the Department.

Winter Term 2021

Lecture Sections

Winter Term 2021 - LEC Q1 (96810)

MWF 11:00:00 - 11:50:00 (CAB 563)

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