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CSE 394.1

Stochastic Processes I

3 Hours

Study Ito-diffusion processes, stochastic calculus, and stochastic integration. Explore stochastic differential equations and their connection to classical analysis. Discuss an introduction to optimal stochastic control of diffusion processes, the Hamilton-Jacobi-Bellman equation (classical and viscosity solutions), singular stochastic control, and linear filtering. Present applications, mainly from mathematical finance, inventory theory, decision analysis, and insurance. Examine brief overview of multi-scale problems in stochastic analysis. Computational Science, Engineering, and Mathematics 394 (Topic: Stochastic Processes I) and 394 (Topic 1) may not both be counted.

Prerequisites & course information

Study Ito-diffusion processes, stochastic calculus, and stochastic integration. Explore stochastic differential equations and their connection to classical analysis. Discuss an introduction to optimal stochastic control of diffusion processes, the Hamilton-Jacobi-Bellman equation (classical and viscosity solutions), singular stochastic control, and linear filtering. Present applications, mainly from mathematical finance, inventory theory, decision analysis, and insurance. Examine brief overview of multi-scale problems in stochastic analysis. Computational Science, Engineering, and Mathematics 394 (Topic: Stochastic Processes I) and 394 (Topic 1) may not both be counted.

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