**October 24: ** The filtering problem (Chapter 6) continued. Homework 4 due on Tuesday November 6: 5.16, 6.2, 6.5, 6.8b + 6.9b (skip parts a; counts as a single question), 6.15

**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).