Stochastic Differential Equations

Catalog description

This course develops the theory and some applications of stochastic differential equations. Topics include: stochastic integral with respect to Brownian motion, existence and uniqueness for solutions of SDEs, Markov property of solutions, sample path properties, Girsanov's Theorem, weak existence and uniqueness, and connections with partial differential equations. Possible additional topics include stochastic stability, reflected diffusions, numerical approximation, and stochastic control. Prerequisite: APMA 2630 and 2640 .