University of Calgary

MATH 685 - Stochastic Processes - Winter 2020

Stochastic processes are fundamental to the study of mathematical finance, but are also of vital importance in many other areas, from neuroscience to electrical engineering. Topics to be covered: Elements of stochastic processes, Markov chains and processes, Renewal processes, Martingales (discrete and continuous times), Brownian motion, Branching processes, Stationary processes, Diffusion processes, The Feynman-Kac formula, Kolmogorov backward/forward equations, Dynkin's formula.
This course may not be repeated for credit.

Hours

  • H(3-0)

Prerequisite(s)

  • Admission to a graduate program in Mathematics and Statistics or consent of the Department.

Antirequisite(s)

  • Credit for Mathematics 685 and Statistics 761 will not be allowed.

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