MATH 735
STOCHASTIC ANALYSIS
Foundations of continuous time stochastic processes, semimartingales and the semimartingale integral, Ito's formula, stochastic differential equations, stochastic equations for Markov processes, application in finance, filtering, and control. The course relies on measure theoretic probability theory that can be reviewed at the beginning of the semester.
Prerequisites & course information
Requisites: Graduate/professional standing or member of the Pre-Masters Mathematics (Visiting International) Program Course Designation: Grad 50% - Counts toward 50% graduate coursework requirement Repeatable for Credit: No Last Taught: Fall 2024
Sources
- Course catalogue ↗2026-2027