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  • PSTAT 223A

    • STOCHASTIC CALCULUS AND APPLICATIONS . PSTAT 223A

    An introduction to Brownian motion, stochastic calculus and stochastic differential equations. Diffusion processes, related partial differential equations and Feynman-Kac formula. Applications to filtering, stochastic control, mathematical finance and other areas of science and engineering.

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    Prerequisites: PSTAT 213A-B-C (or equivalent first-year graduate course in Probability and Stochastic Processes).

    4

    Units

    Optional

    Grading

    1, 2, 3

    Passtime

    None

    Level Limit

    Letters and science

    College
    Unlocks PSTAT 223C
    Instructors
    FOUQUE J-P
    No info found
    Lecture
    HSSB 1210
    M W
    11:00 AM - 12:15 PM
    20 / 20 Full
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    PSTAT 223A Fouque J-P Fall 2023 Total: 7
    PSTAT 223A Fouque J-P Fall 2018 Total: 10
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