Stochastic Calculus and Applications
Fall 2017, PSTAT 223A
Prerequisite to PSTAT 223B: Financial Modeling
Tu-Th 9:30-10:45 - HSSB 4202
Office Hours: Wednesday 11:00--12:00 or by appointment
Office: South Hall 5504
fouque at pstat.ucsb.edu
An introduction to Brownian motion, stochastic calculus and stochastic differential equations. Diffusion processes, related partial differential
equations and Feynman-Kac formula. Applications to filtering, stochastic control and mathematical finance.
Prerequisites: PSTAT 213A-B-C (or equivalent first year graduate courses in Probability and Stochastic Processes.)
Grading: Homework 30%, Midterms(2) 40%, Final 30%
Stochastic Differential Equations: An
Introduction with Applications.
Springer, 6th Edition (2003).