Theory of stochastic calculus
MATH-431
The lecture this week is from 8:15 to 11:00.Topics...
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Description
The lecture this week is from 8:15 to 11:00.
Topics: Integration
with respect to functions of finite variation, computation of the quadratic
variation of Brownian motion, definition of the stochastic integral with
respect to Brownian motion for simple predictable processes.