Modern Methods of Data Analysis: Stochastic Calculus
This course is …
Lectures: Denis Belomestny (denis.belomestny@uni-due.de), Alexey Naumov (a.naumov@skoltech.ru).
Seminars: Алексей Наумов (a.naumov@skoltech.ru).
Lectures
Term 1 |
Stochastic calculus Wiener process, Markov’s properties, Ito’s integral, stochastic differential equations (SDE) , Ito’s formula, strong solution of SDE.
СReferences: |
Term, from 25.11 |
Markov processes TBA |
Seminars
Term 1 |
Wiener processes |