Apr 13, 2024  
USC Catalogue 2023-2024 
    
USC Catalogue 2023-2024

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