MA 451

Intro to Stochastic Calculus

Lec A and Tut T1 selected

Conditional expectations, sigma-algebras, and filtrations; martingales and stopping times; the Riemann-Stieltjes integral; Gaussian processes and Brownian motion; stochastic integration and Ito’s formula; diffusion processes and stochastic differential equations; the Feynman-Kac theorem. <br> <br> <font color="crimson">

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