Måtteori och stokastisk integration
In order to pass the course (grade 3) the student should be able to
Brownian motion. Stochastic integration. Ito's formula. Continuous martingales. The representation theorem for martingales. Stochastic differential equations. Diffusion processes. Girsanov's representation theorem. Applications from selected areas.
Lectures and problem solving sessions.
Compulsory assignments during the course.
week 34, 2013
Find in the library