Stochastic Calculus

3-0-9 units · Graduate

Introduction to stochastic processes, building on the fundamental example of Brownian motion. Topics include Brownian motion, continuous parameter martingales, Ito's theory of stochastic differential equations, Markov processes and partial differential equations, and may also include local time and excursion theory. Students should have familiarity with Lebesgue integration and its application to probability.