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Nonfiction Lectures on Stochastic Analysis

Posted on 2010-04-05




Name:Nonfiction Lectures on Stochastic Analysis
Language:English
Pages:119
File size:15.3 Mb
  

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The course will introduce stochastic integrals with respect to general semimartingales, stochastic differential equations based on these integrals, integration with respect to Poisson random measures, stochastic differential equations for general Markov processes, change of measure, and applications to finance, filtering and control. The intention has been to state the theorems correctly with all hypotheses, but no attempt has been made to include detailed proofs.

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