Apr 17, 2024  
2012-2013 Graduate Catalog 
    
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2012-2013 Graduate Catalog [Not Current Academic Year. Consult with Your Academic Advisor for Your Catalog Year]

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MATH 7380 - Stochastic Differential Equations

Cr. 3. (3-0)
Prerequisite: MATH 6380  or MATH 6382  or consent of instructor. Brownian motion and its properties, martingales, the Ito integral, solutions of stochastic differential equations, numerical schemes, diffusion processes. Applications to mathematical finance (arbitrage and option pricing) and connections to PDE’s.


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