Course

M562 - Brownian Motion and Stochastic Calculus

Course No: 
M562
Credit: 
4
Prerequisites: 
M472
Approval: 
2014
UG-Elective
Syllabus: 
Brownian Motion, Martingale, Stochastic integrals, extension of stochastic integrals, stochastic integrals for martingales, Itˆo’s formula, Application of ItÔ’s formula, stochastic differential equations.
Reference Books: 
  1. H. H. Kuo, “Introduction to Stochastic Integration”, Springer, 2006.
  2. J. M Steele, “Stochastic Calculus and Financial Applications”, Springer-Verlag, 2001.
  3. F. C. Klebaner, “Introduction to Stochastic Calculus with Applications”, Imperial College, 2005.

Contact us

School of Mathematical Sciences

NISERPO- Bhimpur-PadanpurVia- Jatni, District- Khurda, Odisha, India, PIN- 752050

Tel: +91-674-249-4081

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