Cálculo Estocástico (2 º Sem 2014/2015)

Bibliografia

B. Oksendal, Stochastic Differential Equations: An Introduction with Applications, 6th. Edition, Springer, 2003
David Nualart, Stochastic Calculus, Lecture Notes on Stochastic Calculus, http://www.math.ku.edu/~nualart/StochasticCalculus.pdf, 2008
João Guerra, Cálculo Estocástico, Notas das aulas teóricas - Texto didáctico, 2012

I. Karatzas and S. E. Shreve, Brownian Motion and Stochastic Calculus, 2nd edition, Springer, 1991
T. Mikosch, Elementary Stochastic Calculus with Finance in view, World Scientific, 1998
Tomas Bjork, Arbitrage Theory in Continuous Time, 2nd Ed., Oxford University Press, 2004
D. Revuz and M. Yor , Continuous martingales and Brownian motion, Third Edition, Springer , 1999
P. E. Kloeden and E. Platen, Numerical Solution of Stochastic Differential Equations, Springer, 1992