18.176 Stochastic Calculus
Introduction to stochastic processes, building on the fundamental example of Brownian motion. Topics include Brownian motion, continuous parameter martingales, Ito's theory of stochastic differential equations, Markov processes and partial differential equations, and may also include local time and excursion theory. Students should have familiarity with Lebesgue integration and its application to probability.
This class has 18.175 as a prerequisite.
18.176 will be offered this semester (Spring 2018). It is instructed by S. Benoist.
Lecture occurs 2:30 PM to 4:00 PM on Mondays and Wednesdays in 2-151.
This class counts for a total of 12 credits.
You can find more information at the http://www.google.com/search?&q=MIT+%2B+18.176&btnG=Google+Search&inurl=https site or on the 18.176 Stellar site.
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