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.




FE 610 or MA 611 or MA 623


School of Business

Typically Offered Periods

Fall Semester Spring Semester