Advanced Topics in Stochastic Calculation

Basic information

Workload: 

45 hours

Prerequisite: 

Stochastic Processes 

Syllabus: 

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. 

Bibliography

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.