Lecture 7 (Part 1): First passage probabilities and computation for Markov Chain

This course is an introduction to stochastic calculus based on Brownian motion. Topics include: construction of Brownian motion; martingales in continuous time; the Ito integral; localization; Ito calculus; stochastic differential equations; Girsanov’s theorem; martingale representation; the Feynman-Kac formula.

Sukkur IBA University,Javed Hussain,Stochastic Calculus,Stochastic Process,Markov Chain,Markov Processes,essential state,periodic state,