21-880 Stochastic Calculus

12 units, Carnegie Mellon University

This is a first Ph.D.-level course in stochastic calculus for continuous-time processes. It includes martingales and semi-martingales, Brownian motion, the Poisson process, representation of continuous martingales as time-changed Brownian motions, construction of the Ito integral, and Ito's formula. (Two 80 minute lectures)

Prerequisites: (21-355 (min B) or 21-235 (min B) or 21-455 (min B)) and (21-373 (min B) or 21-237 (min B)) and 21-721 (min B)

Offered: Fall 2026, Fall 2025

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