STAT 650
STOCHASTIC DIFFERENTIAL EQUATIONS WITH APPLICATIONS TO FINANCE
This course will cover both theory and applications of stochastic differential equations. Topics include: the Langevin equation from physics, the Wiener process, white noise, the martingale theory, numerical methods and simulation, the Ito and Stratonovitch theories, applications in finance, signal processing, biology, and other fields.
Prerequisites & course information
Short Title: STOCH DIFF EQU WITH APP FINA Department: Statistics Grade Mode: Standard Letter Course Type: Lecture Credit Hours: 3 Restrictions: Enrollment is limited to Graduate level students. Course Level: Graduate Prerequisite(s): STAT 581 or CAAM 581 or CMOR 552
Sources
- Course catalogue ↗2026–2027