Mar 16, 2025  
2024-2025 Graduate Catalog 
    
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2024-2025 Graduate Catalog
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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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