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George Mason University

2016-2017 University Catalog

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2016-2017 University Catalog

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MATH 674 - Stochastic Differential Equations

Credits: 3
Not Repeatable for Credit
Offered by Mathematical Sciences

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.

Prerequisite(s): MATH 214 and 351
Schedule Type: LEC
Hours of Lecture or Seminar per week: 3
Hours of Lab or Studio per week: 0

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