Analysis seminar/Trial lecture - Erlend Grong

Title: Stochastic Integration and stochastic differential equations with applications

Abstract: The aim of the presentation is to give an introduction to the concept of random processes (also called stochastic processes), its integration and the notion of martingales. We look at the construction of the Itô integral and compare it to the construction of the integral with respect to a measure. We review some of the basic theorems and properties related to this. We end by discussing applications to stochastic differential equations (SDEs).

The talk is supposed to be understandable for audience that is not very familiar  with the measure theory.