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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.

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 223B PSTAT 223C
Jean-Pierre Fouque
4.0
5 reviews
Fall 2024 . Fouque J-P
HSSB 1210
M W
11:00 AM - 12:15 PM
See All
PSTAT 223A Fouque J-P Fall 2024 Total: 6
PSTAT 223A Fouque J-P Fall 2023 Total: 7
5
4.0
PSTAT-223AB . A Month Ago

I took PSTAT 223A (F24) and PSTAT 223B (W25) with JP. He's a great lecturer and a very kind person! While some of his lectures could be dense or a bit all over the place, I learned so much from his classes. He's definitely one of the most capable teachers of stochastic calculus and financial math, I wouldn't want to take it with anyone else.

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160B . 4 Years Ago

Pstat 160b is normally a dense class, but Prof. Fouque made it manageable with the open book format and 72 hour time window for both the midterm and the final. Hw problems are usually straight out of the textbook. The biweekly Python Hw can take a while, so its best to start those early. If you put in a reasonable amount of effort, you can get an A

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PSTAT160B . 4 Years Ago

He prerecorded all his lectures and his handwriting was illegible (no joke). The class material is heavy and he doesn't make it easier. He read straight from the textbook and added extra information that was not needed. You are better skipping lectures and just following the book. Do not take him for any class. He is nice but is not meant to teach.

0 helpful 1 unhelpful
PSTAT213ABC . 10 Years Ago

The rare genius that is also a good teacher. Friendly too. Definitely take a class from him if you can.

0 helpful 0 unhelpful
PSTAT213B . 12 Years Ago

One of the best professors in UCSB. I learned so much:)

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