printer friendly pageMATH 236: Introduction to Stochastic Differential Equations
Brownian motion, stochastic integrals, and diffusions as solutions of stochastic differential equations. Functionals of diffusions and their connection with partial differential equations. Random walk approximation of diffusions. Prerequisite: 136 or equivalent and differential equations.nnNOTE: Undergraduates require instructor permission to enroll. Undergraduates interested in taking the course should contact the instructor for permission, providing information about relevant background such as performance in prior coursework, reading, etc.
Terms: Win
| Units: 3
Instructors:
Papanicolaou, G. (PI)
;
Perlman, M. (TA)
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