一.內容:
1. Stochastic processes
2. Kolmogorov existence theorem
3. Poisson process
4. Brownian motion
5. Martingale
6. Stochastic integral
7. Itô Lemma
8. Stochastic differential equation
二.參考書(教科書):
1. Ross:Stochastic processes
2. Bhattacharya and Waymire:Stochastic processes with applications
3. 自寫的講義。
三.成績評量方式:
1. 交習題與報告,50%
2. 期末考,50% |