Course Schedule and Catalog

Long Title: STOCHASTIC DIFFERENTIAL EQUATIONS

Department: Statistics

Grade Mode: Standard Letter

Course Type: Lecture

Credit Hours: 3

Prerequisite(s): STAT 581

Description: This course will cover both theory and applications of stochastic differential equations. Topics include: the Langevin equation from physics, the Wiener process, white noise, the martingale theory, numerical methods and simulation, the Ito and Stratonovitch theories, applications in finance, signal processing, materials science, biology, and other fields.