Stochastic Calculus I
Contents 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.
Qualifications Probability 2 and
Stochastic Processes. Textbooks Notes.
ECTS-credits 10.
Semester Spring 2001.