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

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