Week 7.4: Integrals of the type ∫ X_t dW_t-1

Loading...
From the course by National Research University Higher School of Economics
Stochastic processes
39 ratings
National Research University Higher School of Economics
39 ratings
From the lesson
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.

Meet the Instructors

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

Explore our Catalog

Join for free and get personalized recommendations, updates and offers.