2012-2013 University Catalog 
  
2012-2013 University Catalog

CSI 776 - Stochastic Differential Equations

Credits: 3 (NR)
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.

Prerequisite(s): STAT 652, ECE 630 or ECE 632 or permission of instructor.

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