# Stochastic Calculus and Applications

## Fall 2017, PSTAT 223A

### Prerequisite to PSTAT 223B: Financial Modeling

## Tu-Th 9:30-10:45 - HSSB 4202

**Jean-Pierre Fouque**

**Office Hours: Wednesday 11:00--12:00 or by appointment**

Office: South Hall 5504
fouque at pstat.ucsb.edu

**Course Outline**

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%

__TEXT__:

*Bernt Oksendal,*
*Stochastic Differential Equations: An
Introduction with Applications*.
Springer, __6th Edition__ (2003).