Course Catalog - 2018-2019

     

STAT 650 - STOCH CONTRL & STOCH DIFF EQU

Long Title: STOCHASTIC CONTROL AND STOCHASTIC DIFFERENTIAL EQUATIONS
Department: Statistics
Grade Mode: Standard Letter
Course Type: Lecture
Credit Hours: 3
Restrictions:
Must be enrolled in one of the following Level(s):
Graduate
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.