May 17, 2024  
2022-2023 Graduate Catalog 
    
2022-2023 Graduate Catalog [Not Current Academic Year. Consult with Your Academic Advisor for Your Catalog Year]

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MATH 7380 - Stochastic Differential Equation

Credit Hours: 3.0
Lecture Contact Hours: 3   Lab Contact Hours: 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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