Asymptotic Problems For Differential Equations And Stochastic Processes

Catalog description

Topics that will be covered include: WKB method: zeroth and first orders; turning points; Perturbation theory: regular perturbation, singular perturbation and boundary layers; Homogenization methods for ODE's, elliptic and parabolic PDE's; Homogenization for SDE's, diffusion processes in periodic and random media; Averaging principle for ODE's and SDE's. Applications will be discussed in class and in homework problems.