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MATH 866 Stochastic Processes II

MATH 866.  Stochastic Processes II.  3 Credits.     

This is a second course in stochastic processes, focused on stochastic calculus with respect to a large class of semi-martingales and its applications to topics selected from classical analysis (linear PDE), finance, engineering, and statistics. The course will start with basic properties of martingales and random walks and then develop into the core program on Ito's stochastic calculus and stochastic differential equations. These techniques provide useful and important tools and models in many pure and applied areas. Prerequisite: MATH 727 and MATH 865.

Doctor of Philosophy in Mathematics

The mission of the Graduate Program of the Department of Mathematics is to prepare students for leadership roles in meeting the mathematical needs of our society and to produce professional mathematicians for positions in universities, colleges, industry, governmental agencies, and research centers.