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MA 451

Intro to Stochastic Calculus

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Conditional expectations, sigma-algebras, and filtrations; martingales and stopping times; the Riemann-Stieltjes integral; Gaussian processes and Brownian motion; stochastic integration and Ito’s formula; diffusion processes and stochastic differential equations; the Feynman-Kac theorem. Prerequisites: MA250 and ST359 Exclusions: MA351

Conditional expectations, sigma-algebras, and filtrations; martingales and stopping times; the Riemann-Stieltjes integral; Gaussian processes and Brownian motion; stochastic integration and Ito’s formula; diffusion processes and stochastic differential equations; the Feynman-Kac theorem. Prerequisites: MA250 and ST359 Exclusions: MA351

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Conditional expectations, sigma-algebras, and filtrations; martingales and stopping times; the Riemann-Stieltjes integral; Gaussian processes and Brownian motion; stochastic integration and Ito’s formula; diffusion processes and stochastic differential equations; the Feynman-Kac theorem. Prerequisites: MA250 and ST359 Exclusions: MA351

MA 451

Intro to Stochastic Calculus

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Conditional expectations, sigma-algebras, and filtrations; martingales and stopping times; the Riemann-Stieltjes integral; Gaussian processes and Brownian motion; stochastic integration and Ito’s formula; diffusion processes and stochastic differential equations; the Feynman-Kac theorem. Prerequisites: MA250 and ST359 Exclusions: MA351

Conditional expectations, sigma-algebras, and filtrations; martingales and stopping times; the Riemann-Stieltjes integral; Gaussian processes and Brownian motion; stochastic integration and Ito’s formula; diffusion processes and stochastic differential equations; the Feynman-Kac theorem. Prerequisites: MA250 and ST359 Exclusions: MA351

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Conditional expectations, sigma-algebras, and filtrations; martingales and stopping times; the Riemann-Stieltjes integral; Gaussian processes and Brownian motion; stochastic integration and Ito’s formula; diffusion processes and stochastic differential equations; the Feynman-Kac theorem. Prerequisites: MA250 and ST359 Exclusions: MA351

MA 451 Prerequisites

MA 250 (Min. Grade D-) and ST 359 (Min. Grade D-)

MA 451 Leads To

MA 470

MA 451 Restrictions

Must be enrolled in one of the following Levels:

Undergraduate (UG)

Course Schedule