IMI Interdisciplinary Mathematics InstituteCollege of Arts and Sciences

Introduction to Stochastic Calculus

  • March 17, 2014
  • 1 p.m.
  • LeConte 312

Abstract

Stochastic calculus is used to model systems with random variations. If we allow for some randomness in a differential equation we can get a more realistic mathematical model of the situation. Because of the randomness of the driving process we cannot interpret or construct a stochastic integration or a stochastic differential equation by regular Riemann-Stieltjes concepts. The construction of integration or differentiation driven by a random stochastic process needs a different probabilistic approach. This talk gives the basic constructive definition of stochastic calculus concepts and discusses their applications.

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