Lecture 9 (Part 1): Continuous Time Stochastic Process; Modification; Indistinguishable Process;

This course is an introduction to stochastic calculus based on Brownian motion. Topics include: 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#