Topics chosen from: Markov processes; continuous time matringales; theory of Brownian motion and diffusion processes; Levy processes stochastic calculus; stochastic differential equations and numerical methods; stochastic control. Applications to engineering, finance, biology, etc.
4
UnitsOptional
Grading1, 2, 3
PasstimeNone
Level LimitLetters and science
College223C with Ludkovski was a great class. It balanced computational methods and the underlying theory extremely well. While the homeworks were very difficult and strictly graded, I learned immensely from his criticisms. They were great practice at testing both my understanding of the theory and my skill with implementing the methods.
The grading criteria was confusing to me personally.
rubric on the final was super punishing and unfair
Worst prof in this department. DO NOT TAKE ANY COURSES FROM HIM!!!!! Hadn't seen such a tough grading criteria in my life.
honestly the worst teacher I've had in my whole life. grades super hard, his answer keys are wrong half the time and he doesn't respond to emails. genuinely do not take this professor. i hate this guy with a passion
One of the best professors in the stats department. His understanding to financial math materials are unparalleled. Hard exmas and hard homeworks, but office hours are extremely helpful. You are actually going to learn practical stuff from Professor Ludkovski. Strongly recommended.
Tomoyuki Ichiba
3.8
Mengyang Michael Gu
3.8
Wendy Meiring
2.8
Katie Coburn
3.3