Probability, Optimization, and Stochastic Calculus

Catalog description

This senior seminar will explore various topics in probability, including stochastic processes, stochastic optimization including optimal stopping and optimal stochastic control, Brownian motion, stochastic calculus, connection to partial differential equations, and some of their applications. The class format will involve both lectures and class discussions. Calculus based undergraduate probability, such as APMA 1650 / 1655 or MATH 1210 /1610, is required. Minimal experience in MATLAB is recommended, but not required.