Applied Stochastic Analysis

3.00 points · University catalogue

Provides elementary introduction to fundamental ideas in stochastic analysis for applied mathematics. Core material includes: (i) review of probability theory (including limit theorems), and introduction to discrete Markov chains and Monte Carlo methods; (ii) elementary theory of stochastic process, Ito's stochastic calculus and stochastic differential equations; (iii) introductions to probabilistic representation of elliptic partial differential equations (the Fokker-Planck equation theory); (iv) stochastic approximation algorithms; and (v) asymptotic analysis of SDEs