- Course Name: Introduction to stochastic calculus
- Department: Institute of Applied Mathematics
- Instructor: 許元春
- Textbook: [A first course in stochastic calculus by Louis-Pierre Arguin, American Mathematical Society, 2022]
Here, I'll be updating my practice numerical assignments from the textbook. Occasionally, I'll supplement with content previously covered in the statistics course - "Statistical Learning" using Ross's simulation. You can visit my hackmd to see the detail https://hackmd.io/4m94zjAmQYSZ6dupjdsNRw
You can find all the code in the code folder, and you can locate the .md files in the markdown folder. However, it's recommended to view them on HackMD.
| Chapter | Title | Date | hackmd link |
|---|---|---|---|
| Ch1 | Basic Notions of Probability | 2023/04/09 | https://hackmd.io/unFH0uarTIiyYAHm-fAseQ |
| Ch2 | Gaussian Processes | ||
| Ch3 | Properties of Brownian Motion | ||
| Ch4 | Martingales | ||
| Ch5 | Itô Calculus | ||
| Ch6 | Multivariate Itô Calculus | ||
| Ch7 | Itô Processes and Stochastic Differential Equations | ||
| Ch8 | The Markov Property | ||
| Ch9 | Change of Probability | ||
| Ch10 | Applications to Mathematical Finance |