MATH 610
Stochastic Calculus
A course on Brownian motion and stochastic calculus. Topics include Gaussian processes and Brownian motion; continuous martingales and semimartingales; stochastic integration, Ito's formula, and Girsanov's theorem; connections between Brownian motion and partial differential equations; forward and backward Kolmogorov equations; stochastic differential equations; and local time.
Topics
- Gaussian processes and Brownian motion
- continuous martingales and semimartingales
- stochastic integration
- Ito's formula
- and Girsanov's theorem
- connections between Brownian motion and partial differential equations
- forward and backward Kolmogorov equations
- stochastic differential equations
- and local time
Topics explicitly listed in official catalogue description
Prerequisites & course information
Recommended: STAT600 and STAT601 . Cross-listed with: STAT610. Credit Only Granted for: MATH610 or STAT610.
Sources
- Course catalogue ↗2026-2027