37464 Advanced Stochastic Processes6cp
Requisite(s): 35361 Stochastic Processes OR 37363 Stochastic Processes
These requisites may not apply to students in certain courses.
There are course requisites for this subject. See access conditions.
Anti-requisite(s): 35466 Advanced Stochastic Processes
This subject aims to introduce honours students to the mathematical theory and some financial applications of Brownian motion and related processes. It covers the following topics: formal definition of probability space and stochastic processes; Martingales; Riemann-Stieltjes integration; Brownian motion and related processes; stochastic calculus and stochastic differential equations; and financial applications.
Detailed subject description.