This course is available on the MSc in Financial Mathematics, MSc in Risk and Stochastics, MSc in Statistics, MSc in Statistics (Financial Statistics) and MSc in Statistics (Research). This course is ...
This course is available on the MSc in Applicable Mathematics and MSc in Financial Mathematics. This course is available with permission as an outside option to students on other programmes where ...
Studies mathematical theories and techniques for modeling financial markets. Specific topics include the binomial model, risk neutral pricing, stochastic calculus, connection to partial differential ...
Brownian motion and Langevin's equation. Ito and Stratonovich Stochastic integrals. Stochastic calculus and Ito's formula. SDEs and PDEs of Kolmogorov. Fokker-Planck, and Dynkin. Boundary conditions, ...
We refine stochastic calculus for symmetric Markov processes without using time reverse operators. Under some conditions on the jump functions of locally square integrable martingale additive ...
This is a preview. Log in through your library . Abstract Existence, uniqueness, and a Markov property are proved for the solutions of a hyperbolic equation with a white Gaussian noise driving term. A ...
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 ...
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