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- math-7385 - stochastic-differential-equations
University of Colorado Denver/Anschutz Medical Campus Course Info
Denver, Colorado•
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Course Info
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MATH 7385
Stochastic Differential Equations
Brownian motion, Ito integral, Ito formula, Dynkins formula, stochastic optimal control, boundary value problems, Girsanov theorem, mathematical finance, optimal stopping. Note: This course assumes that students have the equivalent of graduate-level coursework in mathematical probability (e.g. MATH 7384).
Units: 3.0
Hours: 3 to 3