Yaozhong Hu

Professor, Faculty of Science - Mathematics & Statistical Sciences

Contact

Professor, Faculty of Science - Mathematics & Statistical Sciences
Email
yaozhong@ualberta.ca

Courses

MATH 510 - 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.


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