Stochastic Processes / Stochastic Calculus

This year the course covers 3 topics:



[1] D. Williams (1991) Probability with Martingales CUP

[2] R.S. Liptser & A.N. Shityaev (2010) Chapter 4 of Statistics of Random Process. 1 General Theory 2nd Ed. Springer

Lecture notes and detailed references will be provided when needed.

The exam is based on the evaluation of the class interaction and of the weakly individual homeworks. There will be a short final discussion of the papers.

The course starts on May 2nd.

Last modified: (2016-05-21 11:55:08 CEST)