Introduction to Stochastic Differential Equations

Brownian motion, stochastic integrals, and diffusions as solutions of stochastic differential equations. Functionals of diffusions and their connection with partial differential equations. Random walk approximation of diffusions. Introduction to stochastic control and Bayesian filtering. Prerequisite: Math 136 or equivalent and basic familiarity with parabolic partial differential equations. NOTE: Undergraduates and Masters students who wish to enroll must fill out a Request for Review form: https://forms.gle/v5RojToYzmYxGvKc7 ; Your request will be reviewed by faculty and you'll be notified if you are granted permission to enroll.