Skip to main content
  • Skip to main content
  • Site Map
  • Log in
  • T
  • T
-A A +A
Home
School of Mathematical Sciences
राष्ट्रीय विज्ञान शिक्षा एवंअनुसंधान संस्थान
National Institute of Science Education and Research

NISER

  • Home
    • About SMS
  • People
    • Faculty
    • Staff
    • Students
      • Int. M.Sc.
      • Int.MSc-PhD
      • Ph.D.
    • Postdoc
    • Visitors
    • Alumni
      • Integrated M.Sc
      • PhD
      • Faculty
  • Research
    • Research Areas
    • Publications
  • Curriculum
    • Course Directory
      • UG Core Courses
      • UG Elective Courses
      • PG Core Courses
  • Activity
    • Upcoming
      • Seminar/Colloquium
      • Conference/Sympos/Workshop
      • Meeting
      • Outreach Program
    • Past
      • Seminar/Colloquium
      • Conference/Sympos/Workshop
      • Meeting
      • Outreach
    • MathematiX Club
      • SUMS
  • Blogs
  • Committees
  • Gallery
  • Contact

Breadcrumb

  1. Home
  2. M562 - Brownian Motion and Stochastic Calculus

M562 - Brownian Motion and Stochastic Calculus

By admin_sms on Thu, 17/07/2014 - 14:50
Course No
M562
Credit
4
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.

Useful links

  • DAE
  • DST
  • JSTOR
  • MathSciNet
  • NBHM
  • ProjectEuclid
  • ScienceDirect

Quick links at NISER

  • NISER HOME
  • NISER Mail
  • Library
  • Intranet
  • Phone Book
  • WEB Portal
  • Office orders

Recent blog posts

Noncommutative Geometry and its Applications (NCG@NISER2020)
Purna Chandra Das : A Prosaic Ode to his Exceptional Life
Best paper award at SENSORNETS 2017 for Deepak Kumar Dalai

Contact us

School of Mathematical Sciences

NISER, PO- Bhimpur-Padanpur, Via- Jatni, District- Khurda, Odisha, India, PIN- 752050

Tel: +91-674-249-4081

© 2023 School of Mathematical Sciences, NISER, All Rights Reserved.