Lecture 14 (Part 5): Multidimensional Itô's lemma; Itô's product rule; Itô's lemma and martingales;

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This course is an introduction to stochastic calculus based on Brownian motion. Topics include the construction of Brownian motion; martingales in continuous time; the Ito integral; localization; Ito calculus; stochastic differential equations; Girsanov’s theorem; martingale representation; the Feynman-Kac formula. @RUeamHK0X6#
  1. Sukkur IBA University- Mathematics
  2. Sukkur IBA University
  3. Javed Hussain
  4. Stochastic Calculus
  5. Stochastic Process
  6. Wiener Process
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Автор

Thank you very much, it was so helpful!

douniabentaleb
Автор

You have mentioned that the first textbook used is Capinski - Stochastic Calculus for Finance. What is the second one, please?

sipcom