Materials
Literature
Textbooks:
Main textbook:
- Le Gall, J.-F. Brownian Motion, Martingales, and Stochastic Calculus. Graduate Texts in Mathematics, volume 274, 2016.
- Durrett, R. Stochastic calculus: a practical introduction. CRC Press, Probability and Stochastics Series, 1996.
- Berestycki, N. Stochastic calculus.
Background material:
We assume familiarity with probability theory. Suitable background material for this includes:
- Kytölä, K. Lecture notes for the course MS-E1600 Probability theory.
- Durrett, R. Probability: theory and examples. Cambridge University Press, 2010.
- Williams, D. Probability with martingales. Cambridge University Press, 1991.