Course

M562 - Brownian Motion and Stochastic Calculus

Course No:
M562
Credit:
4
Prerequisites:
M472
Approval:
2014
UG-Elective
Syllabus:
Brownian Motion, Martingale, Stochastic integrals, extension of stochastic integrals, stochastic integrals for martingales, Itˆo’s formula, Application of ItÔ’s formula, stochastic differential equations.
Reference Books:
1. H. H. Kuo, “Introduction to Stochastic Integration”, Springer, 2006.
2. J. M Steele, “Stochastic Calculus and Financial Applications”, Springer-Verlag, 2001.
3. F. C. Klebaner, “Introduction to Stochastic Calculus with Applications”, Imperial College, 2005.