Stochastic Calculus

MATH-GA.2903

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This is a graduate level course at the Courant Institute of Mathematical Sciences, NYU.

Course information

  • Instructor: David Li.

  • Semester: Spring 2023.

  • Outline: Bernoulli trials, weak convergence of rescaled random walk to Brownian Motion; Brownian motion and its simplest properties; Construction of Itô integral, Itô formula; Solution of simple SDEs, Black-Scholes SDE, Ornstein-Uhlenbeck process; Connection of stochastic calculus and partial differential equations, Feynman-Kac formula.

  • Programming Language: Python.

Gradebook

Overall grade: A (1.50/1.50)

Item Grade Letter
Assignments 97/100 A
Final 60/60 A