Stochastic Caclulus, Fall semester, 2014

Resources and source material

Lecture notes

Problem solutions

Books and notes on stochastic calculus

Here are some references that to not try to be mathematicaly rigorous.

Here are some references that have more measure theory and mathematical rigor.

Sources on R and coding practice

There are many web pages on R programming. I have selected my two favorites, but you should feel free to surf the web looking for others. R is similar to Matlab and Python, but the documentation is worse.

Classes that use R have pages with links (like this one).

Style in programming is important, particularly if you want your code to work. Programmers argue about style conventions, but good programmers all have them. Look at their code and see. Much of the R code posted on the web as examples has awful style. You should have higher professional standards than these hackers. This course does not use the "object oriented" parts of R. You don't have to read up on classes with style.