Advanced Stochastic Processes
GRS MA 783
Proof-based approach to stochastic processes. Brownian motion. Continuous martingales. Stochastic integration. Ito formula. Girsanov's Theorem. Stochastic differential equations. Feynman-Kac formula. Markov Processes. Local times. Levy processes. Semimartingales and the general stochastic integral. Stable processes. Fractional Brownian motion.
FALL 2023 Schedule
Section | Instructor | Location | Schedule | Notes |
---|---|---|---|---|
A1 | Bourguin | CAS 316 | TR 11:00 am-12:15 pm |
Note that this information may change at any time. Please visit the Student Link for the most up-to-date course information.