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Table Of Contents

Stochastic integration
1.1 White Noise
1.2 The Itˆo Integral
1.2.1 Construction in L2
1.2.2 Properties
1.2.3 Doob’s Martingale Inequality
1.2.4 Extension of the Itˆo integral
1.2.5 The Fisk-Stratonovich integral
the Fisk-Stratonovich integral
1.2.6 Multidimensional Case
1.2.7 Itˆo’s formula
Strong solutions of SDEs
2.1 The strong solution concept
2.2 Uniqueness
2.3 Existence
2.4 Explicit solutions
2.4.1 Linear Equations
2.4.2 Transformation methods
Weak solutions of SDEs
3.1 The weak solution concept
3.2 The two concepts of uniqueness
3.3 Existence via Girsanov’s theorem
3.4 Applications in finance and statistics
The Markov properties
4.1 General facts about Markov processes
4.2 The martingale problem
4.3 The strong Markov property
4.4 The infinitesimal generator
4.5 The Kolmogorov equations
4.6 The Feynman-Kac formula
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sode-lecture.pdf

sode-lecture.pdf

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Published by Javed Hussain
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Published by: Javed Hussain on Nov 06, 2013
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