Academic Catalog 2021–2022

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INE709 Advanced Stochastic Processes

[3–0, 3 cr.]

This course is an introduction to martingales in continuous time. Brownian motion: construction, basic properties, sample paths. Stochastic integration, Its rule, and applications, are discussed. The course is an introduction to stochastic differential equations and diffusion processes. Applications to financial economics: option pricing, and consumption/investment problems, are also covered. 

Prerequisites: INE704 Stochastic Processes