Week 7.2: Integrals of the type ∫ f(t) dW_t-1

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En provenance du cours de National Research University Higher School of Economics
Stochastic processes
39 notes
National Research University Higher School of Economics
39 notes
À partir de la leçon
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.

Rencontrer les enseignants

  • Vladimir Panov
    Vladimir Panov
    Assistant Professor
    Faculty of economic sciences, HSE

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