2009-2010 University Catalog 
  
2009-2010 University Catalog

CSI 776 - Stochastic Differential Equations

Credits: 3
Cross-Listed with IT 746

Introduces modern theory of stochastic calculus. Covers stochastic integrals, martingales, counting processes, diffusion processes, and Ito-type processes in general. Considers applications of these methods to engineering, biology, and economics.

Prerequisites
STAT 652, ECE 630 or 632, or permission of instructor.

Hours of Lecture or Seminar per week
3
Hours of Lab or Studio per week
0