Skip to main content
Future Students Alumni Library Athletics & Recreation
 Mobile
Students
  • Academics
    • Academic Support and Advising
    • Convocation and Graduation
    • Exams
    • Global Engagement and Exchanges
    • Graduate and Postdoctoral Studies
    • Library
    • Programs
    • Records and Registration
    • Research
    • Virtual Asynchronous Learning
  • Support and Wellness
    • Equity, Diversity and Inclusion
    • Gendered Violence Prevention and Support
    • Human Rights and Conflict Management
    • Indigenous Student Services
    • International Student Support
    • Student Affairs
    • Student Wellness Centre
  • Career and Experiential Learning
    • Career and Employment Support
    • Community and Workplace Partnerships
    • Co-op
    • Experience Record
    • Innovation, Entrepreneurship and Changemaking
    • Working on Campus
    • Volunteering
  • Finances
    • Financial Aid
    • Graduate Funding and Awards
    • Money Management
    • Scholarships and Bursaries
    • Tuition and Fees
  • Campus Services
    • Classrooms and Spaces
    • Dining on Campus
    • OneCard
    • Parking and Transportation
    • Printing Services
    • Residence and Off-Campus Housing
    • Retail and Mail Services
    • Safety
    • Sustainability
    • Tech Services

    • Home
    • Programs
    • Science
    • Mathematics
    • MA651A: Stochastic Analysis (Fall 2018)

    MA651A: Stochastic Analysis (Fall 2018)

    Jan. 15, 2020
    Print | PDF

    Calendar Description

    This course introduces the fundamentals of stochastic calculus. Topics include probability measures and random variables; the Itô integral calculus; Itô's Lemma; Markov chains; random walks; the Wiener process; Brownian and geometric Brownian motion; filtrations; adaptive processes; Martingales and super-Martingales; the Martingale Stopping Time Theorem; Girsanov's Theorem and the Radon-Nikodym derivative; stochastic differential equations for single and multiple random processes; Kolmogorov equations and the Feynman-Kac Theorem. Applications include the modelling of continuous diffusion processes, and the development of solution techniques for stochastic differential equations. Topics may include stochastic optimization and jump processes.

    Instructor

    Professor G. (Joe) Campolieti (PhD)
    Office location: LH3073 (Lazaridis Hall)
    Office hours: Monday, Wednesday and Friday 1 p.m. - 2 p.m., other times by appointment only.
    E: gcampoli@wlu.ca
    Telephone: x2067

    Lectures

    Monday, Wednesday and Friday 11:30 a.m. - 12:20 p.m. in 1C17 (Arts Building)

    Textbook

    G. Campolieti and R.N. Makarov, Financial Mathematics: A Comprehensive Treatment, Chapman and Hall/CRC Financial Mathematics Series, CRC Press, Taylor and Francis Group, 2014.

    MyLearningSpace

    Materials related to this course and the full course outline will be posted on the MA651 MyLearningSpace website. You are responsible for checking here on a regular basis for important announcements.

    Evaluation

    A final mark out of 100 will be calculated as follows:

    • Quizzes: 5%
    • Assignments: 25%
    • Midterm Test (Wednesday, Oct. 31, 2018, 5:30 p.m. - 6:50 p.m.): 30%
    • Final Exam (2.5 hours; exact date, time and location to be announced): 40%

    Students must achieve a score of at least 40% of the marks available on the final examination to be eligible to pass the course. The final mark will be reported as a letter grade in accordance with the conversion table of the current undergraduate calendar.

    This document is a summary of the course outline for MA651 and is provided for the convenience of students.

    Unknown Spif - $key
    Wilfrid Laurier University
    • Locations, Maps & Parking
    • Contact Us
    • Accessibility
    • Campus Status
    • Social Media Directory
    • Instagram
    • Twitter
    • Facebook
    • Linked In
    • Email
    • Youtube

    WILFRID LAURIER UNIVERSITY

    • Waterloo
    • Brantford
    • Milton
    • Kitchener

    © 2025 Wilfrid Laurier University

    We use cookies on this site to enhance your experience.

    By selecting “Accept” and continuing to use this website, you consent to the use of cookies.