SRCCS Special Lectures in Stochastic Calculus


▷ Speaker : Professor Kiseop Lee (University of Louiville)
▷ Place : Building 24, #211
▷ Dates : December 26 - December 28

▷ Lecture Schedule

December 26 (Wednesday)
Lecture 1 (09:30-10:50) : Introduction, Levy Processes, Usual Hypotheses, Local Martingale
Lecture 2 (11:10-12:30) : Seminmartingale, Stochastic Integral(part 1)
Lecture 3 (14:30-15:50) : Quadratic Variation, Ito's formular, Stochastic Exponential

December 27 (Thursday)
Lecture 4 (09:30-10:50) : Stopping times, Doob-Meyer decomposition
Lecture 5 (11:10-12:30) : Compensators, Girsanov's theorem
Lecture 6 (14:30-15:50) : Stochastic Integral(part 2)

December 28 (Friday)
Lecture 7 (09:30-10:50) : Martingale Represenation
Lecture 8 (11:10-12:30) : Local times
Lecture 9 (14:30-15:50) : Stochastic Differential Equations

Statistical Research Center for Complex Systems, SNU