2021-2022 University Catalog [ARCHIVED CATALOG]
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MATH 417 - Brownian Motion & Stochastic Calculus
A systematic study of continuous random processes through the lens of Brownian motion and the associated calculus, achieved via a balance of theory and numerics. Topics include: Gaussian processes, Brownian motion, conditional expectations, martingales, Itô’s formula, Itô processes, and stochastic differential equations. Applications to finance, physics, and computer science are illustrated.
Credits: 1.00
Prerequisites: and ( or ) and ( or )
Area of Inquiry: Natural Sciences & Mathematics
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