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 not be offered this semester. It will be available in the Spring semester, and will be 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.
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