Stochastic Differential Equations

MATH8008, Spring semester, 2020

Instructor: Yizao Wang
Email: yizao.wang@uc.edu
Office: 2925CGD 530.
Office Hours: MWF morning walk-in, other time by appointment.
Class meeting: MWF 10:10am - 11:05am, 2925CGD 608.

Textbook (recommended)

Course description

This course provides an introduction to stochastic calculus and stochastic differential equations. The lectures will roughly follow Chapters 2-5 and 7, and a few others if time permits, of Oksendal's book.

The homework will then focus on simulation methods for stochastic processes and SDEs, demonstrated by their applications to a few selected examples in applied areas.

Grades

Tentative Schedule