TP9

26 Fevereiro 2026, 11:00 • Alexandra Symeonides

Proof sketch of Itô formula. Itô and Martingales representation theorem. Ex. 4.2, 4.3 , 4.4 d)e), 4.5

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TP8

24 Fevereiro 2026, 11:30 • Alexandra Symeonides

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TP7

19 Fevereiro 2026, 11:00 • Alexandra Symeonides

Stochastic Integral as a process. The stochastic integral is a martingale and it has a version with continuous trajectories. Ex. 3.5 and 3.6.

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TP6

12 Fevereiro 2026, 11:00 • Alexandra Symeonides

The stochastic integral of simple processes and the Itô integral for adapted processes. Properties. Ex 3.1 and 3.2

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TP5

10 Fevereiro 2026, 11:30 • Alexandra Symeonides

Brownian Motion. Process related to the BM and the quadratic variation of the BM. Ex. 2.2, 2.5-2.7 Motivation for the stochastic integral. Definition of L^2_a,T space.

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