Jan

04

STA2047HS

Stochastic Calculus

Jeremy Quastel

Tuesdays 2-5, in BA 6183

First class Tuesday, January 8

Brownian motion, stochastic integrals, stochastic differential equations, diffusions, Cameron-Martin-Girsanov formula, diffusion approximations, applications. The course will be mathematically rigorous and self-contained.

Prerequisite: No explicit prerequisites, but to understand the material, it is necessary to have a good understanding at the advanced undergraduate level of at least one of the following: Probability, Real Analysis, Differential Equations, Mathematical Finance.

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