Prerequisite: MA(ST) 747
Theory of stochastic differential equations driven by Brownian motions. Current techniques in filtering and financial mathematics. Construction and properties of Brownian motion, wiener measure, Ito's integrals, martingale representation theorem, stochastic differential equations and diffusion processes, Girsanov's theorem, relation to partial differential equations, the Feynman-Kac formula.
| SECTION | INSTRUCTOR | BUILDING | TIME | DAYS | AVAILABILITY | ENROLLMENT |
|---|---|---|---|---|---|---|
| 001 | Ito,Kazufumi | 00216 Daniels Hall | 10:15AM-11:05AM | MWF | AVAILABLE | 4/10 - Open |
