Topics
- Construction of Brownian motion
- Properties of Brownian motion
- Markov and strong Markov property for Brownian motion
- Continuous semimartingales
- Stochastic integration
- Properties of stochastic integrals
- Stochastic differential equations (SDEs)
- Existence and uniqueness of solutions to SDEs
- Ito's formula
- Properties of solutions to SDEs
LernraumPlus: https://lernraumplus.uni-bielefeld.de/course/view.php?id=1711
Required prerequisites: Probability Theory I
Recommended prerequisites: Ordinary Differential Equations I
See "Semesterapparat" in the library.
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