Course Schedule and Catalog

Department: Statistics

Grade Mode: Standard Letter

Course Type: Lecture

Credit Hours: 3

Description: STOCHASTIC DIFFERENTIAL EQUATIONS ***** 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. ***** Prerequisite(s): A course in stochastic processes and a graduate course in probability, or consent of instructor.