Lectures on Stochastic Differential Equations Driven by Wiener Processes and Poisson Random Measures

In May 22 and September 25 Daria Loukianova (Université d'Évry, France) delivered two lectures «SDEs driven by Wiener processes and Poisson random measures»

Course description

1. Poisson random measures. Jump measure of a Lévy process.
2. Lévy measure. Lévy–Itô decomposition.
3. Stochastic integral with respect to the PRM. Ito's formula.

loukianova_jumps.pdf