Week 7.1: Different types of stochastic integrals. Integrals of the type ∫ X_t dt-1

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From the course by National Research University Higher School of Economics
Stochastic processes
20 оценки
National Research University Higher School of Economics
20 оценки
From the lesson
Week 7: Stochastic integration & Itô formula
Upon completing this week, the learner will be able to calculate stochastic integrals of various types and apply Itô’s formula for calculation of stochastic integrals as well as for construction of various stochastic models.

Meet the Instructors

  • Vladimir Panov
    Vladimir Panov
    Assistant Professor
    Faculty of economic sciences, HSE

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