MATH 510 - Stochastic Analysis II

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

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.