Kristoffer Lindensjö: An introduction to the Itô integral

Abstract

Using the Itô integral we can integrate stochastic processes with respect to the Wiener process. Itô integration is a central theme in stochastic analysis as well as in applications in e.g. mathematical finance. This lecture is a gentle introduction to the Itô integral based on a motivation from finance.

Zoom notes: The lecture will be given in Zoom. We kindly ask to register via email. In order to do this, please contact Dmitry Otryakhin, otryakhin@math.su.se