PSTAT223A
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PSTAT 223A - STOCHASTIC CALCULUS AND APPLICATIONS
Statistics & Applied Probability
College of Letters and Science
Full Course Title
STOCHASTIC CALCULUS AND APPLICATIONS
Instructor Name(s)
STAFF
Course Description
An introduction to Brownian motion, stochastic calculus and stochastic differential equations. Diffusion processes, related partial differential equations and Feynman-Kac formula. Applications to filtering, stochastic control, mathematical finance and other areas of science and engineering.
Unit Value
4
Maximum number of times course can be repeated for additional credit
99
Maximum Units
99