Stochastic Dif Eqns and Ap

Catalog description

Stochastic Differential Equations and Applications: Stochastic analogous of classical differnetial equations, random variables and stochastic processes, martingales; the Ito integral, the Ito formula, one dimensional and multi dimensional, martingale representation theorem; stochastic differential equations: solution methods, existence and uniqueness theorem, weak and strong solutions; diffusions: the Markov property, the generator of an Ito's diffusion, the charecteristic operator; applications of stochastic differential equations in finance: the Black-Scholes option pricing formula; market, portfolio and arbitrage; change of measure.