A second course in stochastic processes and applications to insurance. Markov chains (discrete and continuous time), processes with jumps; Brownian motion and diffusions; Martingales; stochastic ...

Francesca Biagini, , , Naomi Wallner, An Introduction to White-Noise Theory and Malliavin Calculus for Fractional Brownian Motion, Proceedings: Mathematical, Physical and Engineering Sciences, Vol.

The course “Stochastische Analysis” is for master students who are already familiar with fundamental concepts of probability theory. Stochastic analysis is a branch of probability theory that is ...

Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential ...

Davar Khoshnevisan, Thomas M. Lewis, Stochastic Calculus for Brownian Motion on a Brownian Fracture, The Annals of Applied Probability, Vol. 9, No. 3 (Aug., 1999), pp ...

Descriptions ES_APPM 442-0: Stochastic Differential Equations VIEW ALL COURSE TIMES AND SESSIONS Description Brownian motion and Langevin's equation. Ito and Stratonovich Stochastic integrals.

A second course in stochastic processes and applications to insurance. Markov chains (discrete and continuous time), processes with jumps; Brownian motion and diffusions; Martingales; stochastic ...