IAMINSTITUTE OF APPLIED MATHEMATICS


IAM523

Code IAM523
Name ELEMENTS OF STOCHASTIC CALCULUS
Credits 3(3-0)
ECTS 8.0
Objective
Content 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.
Outcomes

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