Course Description
Pre-Requisite(s):
MATH 7360 and 7370, or instructor permission
This course presents the basic theory of stochastic differential equations and provides examples of its applications. It is an essential topic for students preparing to do research in probability. Topics covered include a review of the relevant stochastic process and martingale theory; stochastic calculus including Ito's formula; existence and uniqueness for stochastic differential equations, strong Markov property; and applications.
