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Lecture 5: Riemann sum approximation and local martingales

Stochastic Calculus(WiSe 20/21)
The Brownian motion is the central object in the theory of continuous time stochastic processes. Noting that fundamental aspects of the classical real analysis are not applicable to the paths of Brownian motion, new concepts and theory is necessary. In this course we will introduce stochastic integration, study Itô's formula which is a main theorem in stochastic calculus and investigate stochastic differential equations.

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