2022-2023 University Catalog [ARCHIVED CATALOG]
|
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: 1.0
Corequisite: None
Prerequisites: and ( or ) and ( or )
Major/Minor Restrictions: None
Class Restriction: None
Area of Inquiry: Natural Sciences & Mathematics
Liberal Arts CORE: None
Click here for Course Offerings by term
|
