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.