Selected topics on stochastic analysis - NSTP241
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Last update: T_KPMS (10.04.2009)
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Last update: T_KPMS (10.04.2009)
The goal of the course is to present some more advanced topics in stochastic analysis, related to the theory of stochastic differential equations.
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Last update: T_KPMS (10.04.2009)
I. Karatzas, S. Shreve: Brownian motion and stochastic calculus, Springer, New York 1991 D. W. Stroock: Lectures on stochastic analysis: Diffusion theory, Cambridge Univ. Press, Cambridge 1987 |
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Last update: G_M (27.05.2009)
Lecture. |
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Last update: T_KPMS (10.04.2009)
1. Girsanov's theorem and equations with a bounded Borel drift 2. Weak solutions to equations with continuous coefficients 3. Uniqueness of solutions and the Yamada-Watanabe theory 4. Stability of solutions in quadratic mean, in probability, and almost surely
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