Advanced Topics in Stochastic Calculation

The purpose of this course is to introduce Backward Stochastic Differential Equations. For that, we will cover the following topics: Stochastic Differential Equations: Existence, Uniqueness, Weak Solution. Backward Stochastic Differential Equation: Existence, Uniqueness, Properties. Connection with Nonlinear Partial Differential Equations, Feynman's Formula. 

Basic Information

45 hours
Stochastic Processes


  • Zhang, J. (2018) Backward Stochastic Differential Equations - From Linear to Fully Nonlinear Theory. Springer.
  • Steele , J. M. (2012). Stochastic Calculus and Financial Applications . Springer. 


  • Karatzas, I. and Shreve, S. (1988) Brownian Motion and Stochastic Calculus. Springer.