This is an advanced Stochastic Calculus course aimed at Mathematics Ph.D. students. This course will present a rigorous, no holds barred, treatment of all the technicalities involved, and will expect the same level of work from the students. Undergraduates taking this course will be held to the same standard as graduate students.
A detailed list of topics, pre-requisites, and references can be found here.
| Lectures |
MW 3:30--4:50 in WEH 8201 There will be no class on Nov 14 and 16, because I'm at a conference. To make up, there will be extra classes on Fri Sep 9 and Fri Nov 18 at 3:30pm. |
| Office Hours | Tuesdays 10:30--12:00. |
| Mailing list | math-880? |
| Midterm 1 | Wed, Oct 19 (Closed book, in class.) |
| Final | 1:00PM--4:00PM, Thu Dec 15, 2011 in WEH 8201. |
Homework: 20%, midterm: 30%, Final: 50%.