Code Examples

This section contains code examples and implementations for stochastic concepts.

Topics

Topic	Description
Probability Foundations	Basic probability concepts and simulations
Random Walks	Simple and advanced random walk implementations
Stopping Times	Stopping time simulations and theory
Markov Chains	Markov chain simulations and analysis
Brownian Motion	Brownian motion construction and properties
Martingales	Martingale examples and convergence
Stochastic Integral	Itô integral implementation
Itô Calculus	Itô's formula and applications
SDEs	Stochastic differential equations
Girsanov	Change of measure and Girsanov transformation
Option Pricing	Financial applications
Monte Carlo	Monte Carlo methods for stochastic processes

Python Library

The Code/ directory in the repository root contains a Python library with utility functions for the examples.