Stochastic Calculus and Control
Lecture
Main Campus
Course Description
Ito integral, existence and uniqueness of solutions of stochastic differential equations (SDEs), diffusion approximations, numerical solutions of SDEs, controlled diffusions and the Hamilton-Jacobi-Bellman equation, and statistical inference of SDEs. Applications to finance and queueing theory. Prerequisites: 221 or STATS 217: MATH 113, 115.
MS&E 322
Units: 3
See When It's Offered opens a new window opens in a new tab
Typically Offered
Not Available
Grading Basis
Letter or Credit/No Credit
Class Level
Graduate
Instructional Mode
In Person
Gen Ed Requirement(s)
None
