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Stochastic Processes - MATH5835 | ||||||||||||||||||||||||||||||||||||||
Description This course introduces some of the basic ideas and tools of the theory of stochastic processes and their applications to modelling in finance and biology. It covers measure theory, conditional expectation, martingales, continuous time martingales, Brownian motion, semimartingales, fractional Brownian motion; discrete time Markov processes and compounding stochastic processes; homogeneous Poisson processes, compound Poisson processes and non-homogeneous Poisson processes.
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