18.176 Stochastic Calculus
Introduction to stochastic processes with an emphasis on their relationship to other branches of analysis, especially partial differential equations. Topics include Brownian motion, continuous parameter martingales, Ito's theory of stochastic differential equations, Levy processes, and may also address Malliavin''s calculus. Students should have familiarity with Lebesgue integration and its application to probability, as well knowledge of the Fourier transform and other basic tools of analysis.
This class has 18.175 as a prerequisite.
18.176 will not be offered this semester. It will be available in the Spring semester, and will be instructed by D. W. Stroock.
Lecture occurs 1:00 PM to 2:00 PM on Mondays, Wednesdays and Fridays in 2-139.
This class counts for a total of 12 credits.
You can find more information at the MIT + 18.176 - Google Search site.
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