Exercises and discussion of some theoretical problems

4 Abril 2019, 10:00 • João Guerra

Discussion of exercises and theoretical questions about: martingales, stochastic integrals, applications of Itô formula and the Itô Representation Theorem. 

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Stochastic Differential Equations.

1 Abril 2019, 10:00 • João Guerra

Stochastic Differential Equations and deterministic Differential Equations. 

Stochastic Differential Equations: definition of solution. 

The geometric Brownian motion SDE. The Langevin SDE. How to solve them. Examples.

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Martingale Representation Theorem

28 Março 2019, 10:00 • João Guerra

Ito integral Representation Theorem and Martingale Representation Theorem. Examples.

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Multidimensional Ito formula. Exercises.

25 Março 2019, 10:00 • João Guerra

Multidimensional Ito formula. Examples and Exercises.

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One dimensional Ito formula and exercises

21 Março 2019, 10:00 • João Guerra

The extension of stochastic integral to processes of the space L_(a,T).

Ito processes.

One dimensional Ito formula for functions of Brownian motion and Ito processes.

Examples and Exercises.

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