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 (Sixth Edition) by B. Oksendal (Springer-Verlag, 2003). After reviewing the preliminary material contained in chapters 1 and 2, we will cover 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 11 AM to 11:50 AM, in APM 6218.
- Your course grade will be based weekly homework assignments.
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Last updated June 20, 2006