MA651
Stochastic Analysis
0.5 Credit
This course introduces the fundamentals of stochastic calculus. Topics include probability measures and random variables; the Itô integral calculus; Itô's Lemma; Markov chains; random walks; the Wiener process; Brownian and geometric Brownian motion; filtrations; adaptive processes; Martingales and super-Martingales; the Martingale Stopping Time Theorem; Girsanov's Theorem and the Radon-Nikodym derivative; stochastic differential equations for single and multiple random processes; Kolmogorov equations and the Feynman-Kac Theorem. Applications include the modelling of continuous diffusion processes, and the development of solution techniques for stochastic differential equations. Topics may include stochastic optimization and jump processes.
- Prerequisites
- ST559 - Intermediate Probability Theory or equivalent
- Exclusions
- MA451 or equivalent
- Notes
- Formerly offered as MA551 (Stochastic Analysis)