Foto: Matthias Friel
This course will be proposed from Wednesday, 20.October at 8:00 till End of November by Prof. Jean-Christophe Breton (Rennes) as Zoom Meeting under
The passcode is 362617
It is done in the framework of the programm European Digital UniverCity.
An advanced course in Probability theory with measure theory, containing
. first notions on Martingales
. the construction of the Stochastic Integral
. Itô formula
This course will first focus on the fundamental tools of stochastic calculus, such as Itô’s change of variable formula, Girsanov change of measure theorem or the representation of martingales theorem. Then, stochastic differential equations and their solutions will be introduced, as well as some of their properties : regularity, Markovianity, semi-group property.
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