Course Schedule - Spring Semester 2022

     

Meeting location information can now be found on student schedules in ESTHER (for students) or on the Course Roster in ESTHER (for faculty and instructors).
Additional information available here.

STAT 650 001 (CRN: 23946)

STOCH CONTRL & STOCH DIFF EQU

Long Title: STOCHASTIC CONTROL AND STOCHASTIC DIFFERENTIAL EQUATIONS
Department: Statistics
Instructor: Ernst, Philip
Meeting: 2:30PM - 3:45PM TR (10-JAN-2022 - 22-APR-2022) 
Part of Term: Full Term
Grade Mode: Standard Letter
Course Type: Lecture
Language of Instruction: Taught in English
Method of Instruction: Face to Face
Credit Hours: 3
Course Syllabus:
Course Materials: Rice Campus Store
 
Restrictions:
Must be enrolled in one of the following Level(s):
Graduate
Prerequisites: STAT 581 OR CAAM 581
Section Max Enrollment: 25
Section Enrolled: 9
Enrollment data as of: 3-MAR-2024 3:18PM
 
Additional Fees: None
 
Final Exam: GR Course-Dept Schedules Exam
 
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.