Introduction to Stochastic Calculus


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. Prerequisites: Undergraduate background in real analysis (Mathematics 431) and probability (Mathematics 230 or 340). One course. 3 graduate units.

Additional Notes

Usually offered Spring semesters.

Curriculum Codes