Advanced undergraduate and graduate students
This course is an introduction to Brownian motion, stochastic calculus, and some applications. The course does not require knowledge of measure theory. It is advisable to have some prior familiarity with elementary probability and stochastic processes.
- Brownian motion
- Ito stochastic integrals
- Ito's formula
- Stochastic differential equations and properties of their solutions
- Applications including finance