Statistics & Applied Probability - PSTAT

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).


PSTAT 223A
10 / 20 Enrolled
STOCHASTIC CALCULUS AND APPLICATIONS
Jean-Pierre Fouque 4.0
T R
11:00 AM - 12:15 PM
88.3% A