Stochastic Calculus
Lecture
Main Campus
Course Description
Review of local martingales and Markov processes of continuous paths. Stochastic integration and stochastic calculus. Brownian motion and partial differential equations. Representations of martingales and change of measure on Wiener space. Weak and strong solutions of stochastic differential equations. Local time for semi-martingales and the theory of Brownian local time. NOTE: This course is open only for graduate students.
MATH 237
Units: 3
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Typically Offered
Not Available
Grading Basis
Letter or Credit/No Credit
Class Level
Graduate
Instructional Mode
In Person
Gen Ed Requirement(s)
None