AMATH 562 A: Advanced Stochastic Processes

Winter 2024
Meeting:
MWF 11:30am - 12:20pm / MGH 271
SLN:
10235
Section Type:
Lecture
Joint Sections:
AMATH 562 B
Instructor:
APPLIED MATH STUDENTS HAVE PRIORITY REGISTRATION; OTHERS MUST WAIT UNTIL REGISTRATION PERIOD II TO ATTEMPT SPOT.
Catalog Description:
Stochastic dynamical systems aimed at students in applied math. Introduces basic concepts in continuous stochastic processes including Brownian motion, stochastic differential equations, Levy processes, Kolmogorov forward and backward equations, and Hamilton-Jacobi-Bellman partial differential equations. Presents theories with applications from physics, biology, and finance. Prerequisite: AMATH 561 or permission of instructor; recommended: undergraduate course in probability and statistics. Offered: W.
Credits:
5.0
Status:
Active
Last updated:
April 11, 2024 - 2:03 pm