Lecturer
Goran Peskir
Content
This is a continuation of the spring course on the same topic. In the first part we shall complete our study of stochastic integration by considering some special topics of interest in applications. In the second part we will study stochastic differential equations driven by Brownian motion. A special emphasis will be given to connections between stochastic equations in probability and differential equations in analysis. Applications to economics, physics and engineering will be presented if time permits.
Prerequisites
Stochastic processes and Stochastic calculus 1.
Literature
Notes