3-4 hours of lectures per week (including exercises).
Lecturer
NN
Content
Stochastic calculus I is a foundation course in the theory of Itô integral and related calculus. We shall be concerned mainly with the Wiener process, but extensions to more general continuous semimartingales will be obvious. The developed theory will be used to study stochastic differential equations driven by the Wiener process.
Prerequisites
Probability 2 and Stochastic processes.
Literature
Notes.