Credits: 5
Schedule: 14.04.2020 - 22.05.2020
Contact information for the course (applies in this implementation):
Kalle Kytölä (kalle.kytola@aalto.fi)
Details on the course content (applies in this implementation):
This course introduces
you to the key techniques for working with Brownian motion, including
stochastic integration, martingales, and Ito's formula.
Contents:
- Brownian motion
- Stochastic integral
- Itō's formula and applications
Elaboration of the evaluation criteria and methods, and acquainting students with the evaluation (applies in this implementation):
exercises and exam
Details on the course materials (applies in this implementation):
Textbook:
- Le Gall, J.-F. Brownian Motion, Martingales, and Stochastic Calculus. Graduate Texts in Mathematics, volume 274, 2016.
Course Homepage (valid 01.08.2018-31.07.2020):
https://mycourses.aalto.fi/course/search.php?search=MS-E1991
Grading Scale (valid 01.08.2018-31.07.2020):
0-5
- Teacher: Kalle Kytölä