2011-2012 University Catalog 
  
2011-2012 University Catalog

MATH 674 - Stochastic Differential Equations

Credits: 3 (NR)
Introduces stochastic calculus and differential equations. Includes Wiener process, Ito and Stratonovich integrals, Ito formula, martingales, diffusions, and applications, including financial applications. Simulations and numerical approximations of solutions.

Prerequisite(s): MATH 214 and 351

Hours of Lecture or Seminar per week: 3
Hours of Lab or Studio per week: 0