STATISTIC AND APPLIED PROBABILITY
SEMINAR
DATE and TIME: Feb 15-th, 2005 @1 pm in NS 234
SPEAKER: Kiseop Lee (UofL Math)
TITLE: An introduction to Stochastic Integrals
ABSTRACT:
We study two mostly used Stochastic integrals-Ito and Stratonovich. We
discuss how to constcuct them, how they are used in different
situations, and some other mathematical properties. In general,
Stratonovich integral appeals more intuitively, but Ito's integral has
better mathematical properties.