Basic Information
1. Discrete and Continuous Time Martingales. 2. Brownian Motion and Its Properties - Continuity, Nondifferentiability, Distribution of Zeros, Law of The Iterated Logarithm, Reflection Principle. 3. Markov Processes and Semigroups. Application to Stochastic Representations of Solutions of Partial Differential Equations. 4. Stochastic Integrals. 5. Stochastic Differential Equations.
Faculty: Mathematics
|Undergraduate Studies
|Graduate Studies
Pre-required courses
(104165 - Real Functions and 104222 - Probability Theory)
Related Books
Semestrial Information
Weekly Hours
3 Academic Credit • 3 Lecture Hours
Responsible(s)
Nicholas Crawford
Registration Groups
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Weekly Hours
3 Academic Credit • 3 Lecture Hours
Responsible(s)
Ron Rosenthal
Registration Groups
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Weekly Hours
3 Academic Credit • 3 Lecture Hours
Responsible(s)
Nicholas Crawford
Registration Groups
|
|