PSTAT 223A

STOCHASTIC CALCULUS AND APPLICATIONS

University of California Santa Barbara · UGRD · Fall 2026

1 section

Catalog description

An introduction to Brownian motion, stochastic calculus and stochastic differential equations. Diffusion processes, related partial differential equations and Feynman-Kac formula. Applications to filtering, stochastic control, mathematical finance and other areas of science and engineering.

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Class #california_santa_barbara-9474Fall 2026UGRD

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