2010-2011 University Catalog 
  
2010-2011 University Catalog

MATH 674 - Stochastic Differential Equations

Credits: 3
Introduces stochastic calculus and differential equations. Includes Wiener process, Ito and Stratonovich integrals, Ito formula, martingales, diffusions, and applications, including financial applications. Simulations and numerical approximations of solutions.

Prerequisites
MATH 214 and 351

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