Stochastic calculus and applications
Additional Info
- ECTS credits: 6
- University: University of Nice - Sophia Antipolis
- Semester: 3
- Lecturer 1: Remi Catellier
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Topics:
This course is devoted to the introduction of the basic concepts of continuous time stochastic processes which are used in many fields :physics, finance, biology, medicine, filtering theory, decision theory. It will consist of a presentation of Brownian motion, Itô integral, stochastic differential equations and Girsanov theorem. Several applications will be given.
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