Introduction to stochastic calculus
Contact:
Serge Richard (richard@math.nagoya-u.ac.jp), Rm. 247 in Sci. Bldg. A
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Schedule : Wednesday 8.45 - 10.15 in room 309 of the math building
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Class dates :
April 10, 17, 24
May 1, 8, 15, 22, 29
June 5, 12, 19, 26
July 3, 10, 17
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Program :
Mathematical Background
Stochastic processes
Brownian motion
Stochastic integrals
Itô processes and stochastic differential equations
Markov processes
Applications to finance
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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.
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Works submitted by students :
No student yet
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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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