*I haven't taught this course yet!!!

隨機積分 (預備知識是測度論, 離散時間鞅)

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Description : Integration with respect to large fluctuations. Quadratic variations of continuous-time stochastic processes.

Keywords: Martingales, stochastic integral, Ito's formula, SDE, local times, Bessel processes.

Students' duty : Problem sets, Midterm, Final.

Prerequisites : Probability Theory I or Cohen and Elliott Ch1-4 (Measure-theoretic probability, discrete-time martingales)

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Suggested Reference : Cohen and Elliott- Stochastic Calculus and Applications (2015)