Stochastic Processes II

Basic information

Workload: 

45 hours

Prerequisite: 

Stochastic Processes

Syllabus: 

Construction of the Brownian Movement. Stochastic Differential Equations. Representation of martingales. Measure change. Feynman-Kac formula. Local time and Tanaka formula.

Bibliography

Mandatory: 

  • Steele , J. M. (2012). Stochastic Calculus and Financial Applications. Springer. 

Complementary: 

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