May 20, 2024  
2023-2024 Graduate Catalog 
    
2023-2024 Graduate Catalog
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MATH 6355 - Applied Stochastic Differential Equations


Credits: 3

A practical introduction to continuous-time stochastic processes commonly used in physics, biology, and finance. Brownian motion, diffusion processes, Ito calculus, and the Feynman Kac formula. Prerequisites: MATH 4338 or equivalent; MATH 4337 or equivalent. Recommended: some undergraduate-level probability and measure theory.



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