Academic Catalog 2018–2019

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INE507 Advanced Stochastic Processes

[3–0, 3 cr.]

Introduction to martingales in continuous time. Brownian motion: construction, basic properties, sample paths. Stochastic integration, Ito’s rule, applications. Introduction to stochastic differential equations and diffusion processes. Applications to financial economics: option pricing, consumption/investment problems. Prerequisites: INE504 Stochastic processes and consent of instructor.