Stochastic Processes

Markov chains in discrete time. Poisson process. Birth and death process. Martingal in discreet time. Markov chains in continuous time. Brownian Movement. Martingal in continuous time. Integral of Itô. Itô formula. Stochastic Differential Equations. Representation of martingals. Measure change. Feynman-Kac formula. 

Basic Information

Workload
45 hours

Mandatory: 

  • Hoel, P., Port, S. e Stone, C. (1986) Introduction to Stochastic Processes. Waveland.
  • Steele , J. M. (2012). Stochastic Calculus and Financial Applications . Springer. 

Complementary: 

  • Grimmett, G. R. e Stirzaker, D. R. (2001). Probability and Random Processes. Oxford.
  • Oksendal, B. (2010). Stochastic Differential Equations: An Introduction with Applications. Springer. 6° Edição.