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).