Stochastic Analysis - Notes

Dr I F Wilde



Stochastic Analysis - Notes (pdf file) (616Kb, 103 pages)

These notes are based on lectures given in the Mathematics Department, King's College London.
The intention was to provide a gentle introduction to the mathematics of Stochastic Analysis.

Contents:

  1. Introduction
  2. Conditional expectation
  3. Martingales
  4. Stochastic integration - informally
  5. Wiener process
  6. Itô’s formula
  7. Bibliography

- further available material.

More links of interest may be found via:
Steve Summer’s links page
Noel Vaillant’s links page
Modern Analysis Online



Ivan F Wilde
e-mail: iwilde (dot) mth (at) ntlworld (dot) com
<This page updated 14 June 2009>