Sheet 0

It is difficult to prepare Sheet 0 for this course. Students taking the course come from different backgrounds. Do not worry if you can not go through these problem and if some things here appear entirely novel. Some questions are not necessarily representative of what’s coming (in particular there is a bit more measure theoretical aspects here than in the course itself) whilst other could well appear on later (actual) problem sheets. I would encourage everyone to come to the first lectures, where I will try my best to explain what is really needed.

All that is related to Brownian motion, stochastic calculus, Itˆo’s formula and continuous martingales will be recalled in the course.