MATH 510 - Stochastic Analysis II

3 units (fi 6)(SECOND, 3-0-0)

Faculty of Science

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.

No syllabi

Winter Term 2025

Lectures

Section Capacity Class times Login to view Instructor(s) and Location
LECTURE Q1
(78653)
20
2025-01-06 - 2025-04-09 (MWF)
13:00 - 13:50