## 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.