====== Stochastic calculus for Machine Learning ======

{{ world:cours:qr-code-mva.png?150 }}

====== Registration to the course ======
 
  * <color /yellow> [[https://docs.google.com/forms/d/1mIXLc_cU4hGWMX3RbmbykL97uZZm2SEMOxbdBY6UxoU/edit|Please register here]] </color>


====== Program of the course ======
  * **Where?** ENS Paris-Saclay. /*Room: 1A14.*/
  * **When?** /*Every course will hold on Thursday <color red>from 9H to 12H00</color> (exact dates are given below).*/
 
^    ^ Topics                                                                        ^ Material                                                                                                                   ^
| 1  | Brownian motion and the Wiener space: defintions and first properties         | {{:world:prob_0.pdf| TD 0}}   and {{:world:BM0.pdf| TD 1}}  and {{:world:chap_1-_brownian_motion_and_v1.pdf|notes}}        |
| 2  | Brownian motion: Markov property and further properties                       | {{:world:td3_cs.pdf| TD 3}} and {{:world:note_2_cs.pdf| notes}}                                                            |
| 3  | End Chapter 2. Filtration and measurability. Starting continuous martingales  | {{:world:chap_2_complete_cs.pdf| complete notes chapter 2}} and {{:world:chap3_cs.pdf| notes chapter 3}}                   |
| 4  | Continuous martingales -- Bounded variation processes                         | {{:world:chap4_cs.pdf| notes chapter 4}} {{:world:td_mart_mva.pdf| TD3}}                                                   |
| 5  | Local martingales and their bracket                                           | {{:world:chap5_cs.pdf| notes chapter 5}} {{:world:td_semi_mart_mva.pdf| TD4}}                                              |
| 6  | Stochastic integration with respect to semi-martingales                       | {{:world:chap_5_cs_end.pdf| notes End chapter 5}} {{:world:chap6_cs.pdf| notes chapter 6}} {{:world:td_sto_int.pdf| TD5}}  |
| 7  | Ito formula                                                                   | {{:world:chap_7_cs.pdf| notes chapter 7}} {{:world:td_7_cs.pdf| TD6}}                                                      |
| 8  |                                                                               |                                                                                                                            |




===== Evaluation =====

===== Contact =====

^ name          ^ email adresses                                ^
| Alain Durmus  | alain.durmus **"Arobase"** polytechnique.edu  |


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~~DISCUSSION~~