Week 7.6: Integrals of the type ∫ X_t dY_t, where Y_t is an Itô process

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AB
4 de ene. de 2021

Excellent course with rigorous introduction to some of the advanced topics in stochastic processes such as levy process etc. Highly recommended

PG
15 de abr. de 2020

Vladimir did a wonderful job. Your course is too good. Request to add more practical problems.

De la lección
Week 7: Stochastic integration & Itô formula
Upon completing this week, the learner will be able to calculate stochastic integrals of various types and apply Itô’s formula for calculation of stochastic integrals as well as for construction of various stochastic models.

Impartido por:

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    Vladimir Panov

    Assistant Professor

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