MA 451

Intro to Stochastic Calculus

Conditional expectations, sigma-algebras, and filtrations; martingales and stopping times; the Riemann-Stieltjes integral; Gaussian processes and Brownian motion; stochastic integration and Ito’s formula; diffusion processes and stochastic differential equations; the Feynman-Kac theorem. Prerequisites: MA250 and ST359 Exclusions: MA351