Stochastic Differential Equations
Stochastic differential equations (SDE) can be used to model a variety of random dynamic phenomena in the physical, biological, engineering and social sciences. Solutions of these equations are often Markov diffusion processes. Because of this SDE theory has strong links to the classical theory of partial differential equations (PDE).
- The text for the course is Stochastic Differential Equations (Fifth Edition) by B. Oksendal (Springer-Verlag, 1998). We will cover the basic material in chapters 3, 4, 5, 7. After this, some of the more advanced topics from chapter 8 will be treated, as will a selection of the applications from Chapters 9-12.
- Lectures will be on Monday, Wednesday, and Friday, from 2:30 PM to 3:20 PM, in HSS 1106A.
- Your course grade will be based weekly homework assignments.
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September 19, 2001