**Lectures on Stochastic Analysis**

by Thomas G. Kurtz

**Publisher**: University of Wisconsin 2007**Number of pages**: 119

**Description**:

The course will introduce stochastic integrals with respect to general semimartingales, stochastic differential equations based on these integrals, integration with respect to Poisson random measures, stochastic differential equations for general Markov processes, change of measure, and applications to finance, filtering and control. The intention has been to state the theorems correctly with all hypotheses, but no attempt has been made to include detailed proofs.

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