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.
Antirequisite(s)
- Credit for Mathematics 585 and Statistics 407 will not be allowed.
Sections