Week 7.1: Different types of stochastic integrals. Integrals of the type ∫ X_t dt-1

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Do curso por National Research University Higher School of Economics
Stochastic processes
39 classificações
National Research University Higher School of Economics
39 classificações
Na lição
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.

Conheça os instrutores

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

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