Explores Stochastic Differential Equations with examples like Brownian Motion and Square-Root Processes, discussing their relation to Partial Differential Equations.
Covers Girsanov's Theorem, absolutely continuous measures, and numerical simulation of Stochastic Differential Equations (SDEs) with applications in finance.
Explores Stochastic Optimal Control, emphasizing Optimal Consumption and Investment, the Martingale Representation Theorem, and the Verification Theorem.
Covers Markov processes, transition densities, and distribution conditional on information, discussing classification of states and stationary distributions.
