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Advanced Stochastic Calculus I
12 units

This is a first Ph.D.-level course in stochastic calculus for continuous-time processes. It includes martingales and semi-martingales, Brownian motion, the Poisson process, representation of continuous martingales as time-changed Brownian motions, contruction of the Ito integral, and Ito's formula.

Prerequisite: 36-753