Undergraduate Prerequisites: (GRSMA779 OR GRSMA780) or consent of instructor. - 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.

Note that this information may change at any time. Please visit the MyBU Student Portal for the most up-to-date course information.