MA451
Introduction to Stochastic Calculus
0.5 Credit
Hours per week:
- Lecture/Discussion: 3
Conditional expectations, sigma-algebras, and filtrations; martingales and stopping times; the Riemann-Stieltjes
integral; Gaussian processes and Brownian motion; stochastic integration and Ito's formula; diffusion processes and stochastic differential equations; the Feynman-Kac theorem.
