Advanced Topics in Stochastic Calculation
The purpose of this course is to introduce Backward Stochastic Differential Equations. For that, we will cover the following topics: Stochastic Differential Equations: Existence, Uniqueness, Weak Solution. Backward Stochastic Differential Equation: Existence, Uniqueness, Properties. Connection with Nonlinear Partial Differential Equations, Feynman's Formula.
Basic Information
Workload
60 hours
Requirements
Stochastic Processes