FE 710 Applied Stochastic Differential Equations
Topics include Ito calculus review, linear stochastic differential equations (SDE’s), examples of solvable SDE’s, weak and strong solutions, existence and uniqueness of strong solutions, Ito-Taylor expansions, SDE for Markov processes with jumps, Levy processes, forward and backward equations and the Feynman-Kac representation formula, and introduction to stochastic control. Applications are mostly from financial engineering but applications in areas such as population dynamics, energy, climatology and seismology may also be presented.
Distribution
School of BusinessOffered
Fall Semester
Spring Semester