MATH 4821 Stochastic Processes II 3.0 Credits
Advanced topics in stochastic processes with an emphasis on continuous-time models and their applications. Topics may include stochastic calculus and Itô integration, stochastic differential equations, diffusion processes, stopping times and optional sampling, local martingales, and measure changes. Applications are drawn from areas such as finance, physics, and engineering. Analytical and probabilistic techniques are emphasized, with selected numerical and simulation methods.
Repeat Status: Not repeatable for credit
Prerequisites: MATH 3821 [Min Grade: C-] (Can be taken Concurrently)