Introduction to stochastic calculus
Contact:
Serge Richard (richard@math.nagoyau.ac.jp), Rm. 247 in Sci. Bldg. A

Schedule : Wednesday 8.45  10.15 in room 309 of the math building

Class dates :
April 10, 17, 24
May 1, 8, 15, 22, 29
June 5, 12, 19, 26
July 3, 10

Program :
Mathematical Background
Stochastic processes
Brownian motion
Stochastic integrals
Itô processes and stochastic differential equations
Markov processes
Applications to finance

For the evaluation, you need to submit the solutions of some exercises and/or the proofs of some statements.
These submissions can take place at any time during the semester.
If you have any question, contact me.

References : (electronic version available upon request)
[A] J.L. Arguin, A first course in stochastic calculus
[B] P. Baldi, Stochastic calculus, an introduction through theory and exercises
[D] R. Durrett, Stochastic calculus, a practical introduction
[E] L.C. Evans, An introduction to stochastic differential equations
[K] F. Klebaner, Introduction to stochastic calculus with applications
[Ku] H.H. Kuo, Introduction to stochastic integration
[M] T. Mikosch, Elementary stochastic calculus with finance in mind
[SP] R. Schilling; L. Partzsch, Brownian Motion: an introduction to stochastic processes
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