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:
[1] T. Seppalainen, Basics of Stochastic Analysis, 2003 ;
[2] B. Oksendal, Stochastic Differential Equations, an Introduction with Applications, 5 Edition, Springer-Verlag ;
[3] A. Bulinski, A. Shiryaev, Theory of random processes, 2004 (in Russian) ;
[4] Shiryaev A.N. Probability, Springer, 2 edition (also available in Russian, МЦНМО, 2017) ;
[4] Next one

Term, from 25.11

Markov processes

TBA

Seminars

Term 1

Wiener processes

Wiener process, Markov’s properties, Ito’s integral, stochastic differential equations (SDE) , Ito’s formula, strong solution of SDE.

List of problems for seminars 1: List1

Homework 1: HW1 (deadline 29.10.17)