Introduction to Stochastic Calculus

Catalog description

Introduction to the theory of stochastic differential equations oriented towards topics useful in applications. Brownian motion, stochastic integrals, and diffusions as solutions of stochastic differential equations. Functionals of diffusions and their connection with partial differential equations. Ito's formula, Girsanov's theorem, Feynman-Kac formula, Martingale representation theorem. Additional topics have included one dimensional boundary behavior, stochastic averaging, stochastic numerical methods. Prerequisites: Undergraduate background in real analysis (Mathematics 431) and probability (Mathematics 230 or 340).