課程概述 |
I.Contents:
Brownian motion, Itô integral, Itô’s formula, quadratic variations, stochastic differential equations, Girsanov theorem, and some applications (e.g. diffusions, Feynman-Kac formula).
II.Course prerequisite:
Measure theory (Course number: 221 U2870) and probability theory I (Course number: 221 U3410)
III.Reference material ( textbook(s) ):
1. (Textbook) Stochastic Calculus: A Practical Introduction. R. Durrett. CRC- Press, 1996.
2. Continuous martingales and Brownian motion. D. Revuz and M. Yor, Springer-Verlag, 1991.
3. Stochastic Calculus and Financial Applications. J.M. Steele, Springer, 2001.
4. Stochastic Differential Equations, An Introduction with Applications. Bernt Øksendal, Springer, 5th edition corrected second printing, 2000
IV.Grading scheme:
1. Homework and recitation: 60%
2. Term paper and final exam: 40% |