Subject
MATH - Mathematics
Description
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.
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.
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.
GFC Hours
(3-0)
Domestic Fee Rate Group
A
International Fee Rate Group
B
Signature Learning
Research & Creative Scholarship
Courses may consist of a Lecture, Lab, Tutorial, and/or Seminar. Students will be required to register in each component that is required for the course as indicated in the schedule of classes. Practicums, internships or other experiential learning modalities are typically indicated as a Lab component.
Component
LEC
Units
3
Repeat for Credit
No