Course Description
Theory of stochastic differential equations driven by Brownian motions. Current techniques in filtering and financial mathematics. Construction and properties of Brownian motion, wiener measure, Ito's integrals, martingale representation theorem, stochastic differential equations and diffusion processes, Girsanov's theorem, relation to partial differential equations, the Feynman-Kac formula.
Fall 2025
Instructors
Meeting Patterns
Classes Start:
August 18, 2025
Classes End:
December 2, 2025
Location:
01220 SAS Hall
Class Days:
M W F
Class Start Time:
10:40am
Class End Time:
11:30am
Class Type:
Lecture
Credits:
3.00
Restrictions:
Prerequisite: MA(ST) 747