Stochastic Processes II
Construction of the Brownian Movement. Stochastic Differential Equations. Representation of martingales. Measure change. Feynman-Kac formula. Local time and Tanaka formula.
Basic Information
Workload
60 hours
Requirements
Stochastic Processes
Mandatory:
- Steele , J. M. (2012). Stochastic Calculus and Financial Applications. Springer.
Complementary:
- Karatzas , I. e Shreve, S. (1988). Brownian Motion and Stochastic Calculus. Springer, segunda edição.