Dec 19, 2024  
USC Catalogue 2019-2020 
    
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USC Catalogue 2019-2020 [ARCHIVED CATALOGUE]

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MATH 509 Stochastic Differential Equations

Units: 3
Brownian motion, stochastic integrals, the Ito formula, stochastic differential equations, analysis of diffusion processes, Girsanov transformation, Feynmann-Kac formula, applications.
Prerequisite: MATH 505a , MATH 505b  or MATH 507a , MATH 507b .
Instruction Mode: Lecture
Grading Option: Letter


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