Monday, October 5, 2015

随机过程 总结

参开资料:
http://www.zhihu.com/question/23527615

随机过程一般理论
概率论、随机过程的测度论基础:probability space、convergence theory、limit theory、martingale theory
Markov process
stochastic integral
stochastic differential equations
semimartingale theory

数学金融:
stochastic integrals
stochastic differential equations (SDE)
semimartingale
   - Ito process
   - Levy process: 解决ruin问题
Brownian motion