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
Workload
60 hours
Requirements
Stochastic Processes
Mandatory:
- Zhang, J. (2018) Backward Stochastic Differential Equations - From Linear to Fully Nonlinear Theory. Springer.
- Steele , J. M. (2012). Stochastic Calculus and Financial Applications . Springer.
Complementary:
- Karatzas, I. and Shreve, S. (1988) Brownian Motion and Stochastic Calculus. Springer.