Advanced Stochastic Processes

GRS MA 783

Proof-based approach to stochastic processes. Brownian motion. Continuous martingales. Stochastic integration. Itô formula. Girsanov’s Theorem. Stochastic differential equations. Feynman-Kac formula. Markov Processes. Local times. Lévy processes. Semimartingales and the general stochastic integral. Stable processes. Fractional Brownian motion.