Feb 09, 2025  
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University of Alberta Calendar 2024-2025

MATH 510 - Stochastic Analysis II

Course Career Graduate
Units 3
Approved Hours 3-0-0
Fee index 6
Faculty Science
Department Mathematical & Statistical Sci
Typically Offered second term

Description
Continuous semimartingales and quadratic variation. Stochastic integrals for continuous semimartingales. Ito’s formula. Change of probability measure (Girsanov transformation). Martingale representation theorem for Brownian filtrations. Stochastic differential equations, diffusions. Introduction to discontinuous semimartingales with emphasis on Poisson processes. Prerequisites: MATH 505 or consent of the Department.