INSTITUTE OF APPLIED MATHEMATICS
Last Updated:
28/08/2017 - 21:10

IAM523 - Elements of Stochastic Calculus

Credit: 3(3-0); ECTS: 8.0
Instructor(s): Consent of IAM
Prerequisites: Consent of Instructor(s)

Course Catalogue Description

The aim of this course is an initiation to the Itô Calculus (Stochastic Calculus by means of the Brownian motion) which constitutes one of the most important branches of stochastic processes because of their applications and extensions. Outline of Topics: Basic concepts of Probability Theory, stochastic processes, Brownian Motion, conditional expectation, martingales, stochastic integral, representation of martingales, Itô Lemma, change of probability, stochastic differential equations (existence and uniqueness of the solutions, approximations of the solutions), applications.

Course Objectives

Course Learning Outcomes

Tentative (Weekly) Outline

The aim of this course is an initiation to the Itô Calculus (Stochastic Calculus by means of the Brownian motion) which constitutes one of the most important branches of stochastic processes because of their applications and extensions. Outline of Topics: Basic concepts of Probability Theory, stochastic processes, Brownian Motion, conditional expectation, martingales, stochastic integral, representation of martingales, Itô Lemma, change of probability, stochastic differential equations (existence and uniqueness of the solutions, approximations of the solutions), applications.

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