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Covers Girsanov's Theorem, absolutely continuous measures, and numerical simulation of Stochastic Differential Equations (SDEs) with applications in finance.
Explores Stochastic Optimal Control, emphasizing Optimal Consumption and Investment, the Martingale Representation Theorem, and the Verification Theorem.
Explores linear prediction, optimal filters, random signals, stationarity, autocorrelation, power spectral density, and Fourier transform in signal processing.
