Robert Dalang

EPFL SB MATH PROB
MA B2 493 (Bâtiment MA)
Station 8
1015 Lausanne

Web site:  Web site:  https://prob.epfl.ch/

Web site:  Web site:  https://sma.epfl.ch/

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Theory of stochastic calculus

Introduction to the mathematical theory of stochastic calculus: construction of stochastic Ito integral, proof of Ito formula, introduction to stochastic differential equations, Girsanov theorem and Feynman-Kac formula.