Performance evaluation of a self-synchronizing Lorenz chaotic system is formulated as a stochastic differential equation problem. Based on stochastic calculus, ...

Financial Mathematics and Control Theory ResearchThe area of financial mathematics is concerned with the development and the analysis of models that can be of use to the valuation of investments in ...

Most introductory textbooks on stochastic processes which cover standard topics such as Poisson process, Brownian motion, renewal theory and random walks deal inadequately with their applications.

Course content The course gives a thorough basis for understanding stochatsic dynamics and models. We will in particular study Brownian motion and martingales, Ito’s stochastic calculus, stochastic ...

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Both deterministic and stochastic operator-valued integrands are used. The approach uses some ideas from Malliavin calculus. In addition to the definition of stochastic integration, an Itô formula is ...

MATH70055 Stochastic Calculus with Applications to non-Linear Filtering Modules in the Department of Mathematics Please see the Module Guides section on the Course Structure and Content pages of the ...