Stochastic Differential Equations and Applications

Catalog description

An introduction to stochastic modeling of dynamical systems via stochastic differential equations and its wide range of applications, in particular, in the biosciences. Topics include: the review of probability theory, study of Brownian Motion and Martingales, Stochastic Processes, Ito and Stratonovich Calculus, Stochastic Integration and Ito’s Formula, Markov Processes, Girsanov’s Theorem, Martingale Representation Theorem, Stochastic Differential Equations (SDE), Numerical Methods for Solving SDE, Parameter Estimation Scheme and the applications of stochastic differential equations in areas such as mathematical biology, mathematical finance, insurance, reliability and queueing theory. Lecture Hours: 3 Contact Hours: 3 Grade Mode: Normal (A, B, C, D, F) Schedule Type (Primary): Lecture Click here for the Schedule of Classes.