Syllabus
1. Stochastic processes with continuous time
2. Wiener process
3. Filtrations and stopping times
4. Martingales with continuous time
5. Local martingales
6. Continuous semimartingales
7. Stochastic integral and Ito’s formula
8. Stochastic differential equations
Annotation
Lectures and exercises are devoted to stochastic processes with continuous time and to the basics of stochastic calculus.