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
45 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.