STOCHASTIC CALCULUS

MATH545.01

Introduction to the theory of stochastic differential equations oriented towards topics useful in applications. Brownian motion, stochastic integrals, and diffusions as solutions of stochastic differential equations. Functionals of diffusions and their connection with partial differential equations. Ito's formula, Girsanov's theorem, Feynman-Kac formula, Martingale representation theoerm. Additional topics have included one dimensional boundary behavior, stochastic averaging, stochastic numerical methods. Instructor: Staff

Prerequisite: 
Prerequisites: Undergraduate background in real analysis (Mathematics 431) and probability (Mathematics 230 or 340).
Instructor: Nolen, James
Time: TuTh 8:30am-9:45am
Location: Physics 259