A review on Brownian Motion and Stochastic Calculus
| Main Author: | Soham Ghosh |
|---|---|
| Format: | Article Journal |
| Terbitan: |
, 2022
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| Subjects: | |
| Online Access: |
https://zenodo.org/record/5846698 |
Daftar Isi:
- Stochastic Calculus has found a wide range of applications in analyzing the evolution of many natural, but complex systems. In this article, we discuss Brownian motion and Stochastic Calculus. In Chapter 2, we have listed preliminary notions about Stochastic Processes. In Chapter 3, we focus on the definition and properties of Brownian motion. In Chapter 4, we first discuss the construction of Ito integral and then look at the change of variables formula of Stochastic Calculus, the Ito formula. We finish with a discussion on existence and uniqueness problem for solutions of stochastic differential equations.