MATH-431: Theory of stochastic calculus

Summary

Introduction to the mathematical theory of stochastic calculus: construction of stochastic Ito integral, proof of Ito formula, introduction to stochastic differential equations, Girsanov theorem and Feynman-Kac formula.

Official source

https://edu.epfl.ch/coursebook/en/theory-of-stochastic-calculus-MATH-431

Moodle Page

http://go.epfl.ch/MATH-431

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Ontological neighbourhood

Mathematics

Analysis: Differential anaysis

Probability theory: Stochastic processses

Instructor

Lectures in this course (78)

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