Math 21880: Stochastic Calculus

WF 10:30am-11:50am Wean Hall 7201

Instructor: Xi Geng

  • Office: 7109
  • Email: xig@andrew.cmu.edu

    • Course Materials:

  • Course description and syllabus
  • Lecture notes
  • References: (1) N. Ikeda and S. Watanabe, Stochastic differential equations and diffusion processes, 2nd edition, 1989.
    (2) I.A. Karatzas and S.E. Shreve, Brownian motion and stochastic calculus, 2nd edition, 1991.
    (3) D. Revuz and M. Yor, Continuous martingales and Brownian motion, 3rd edition, 2004.
    (4) L.C.G. Rogers and D. Williams, Diffusions, Markov processes and martingales, Volume 1 and 2, 2nd edition, 1994.

    • Grading

  • Attendance 30% + Take home exam 70 %

    • Homework Solutions:

  • Solutions for Problem Set One

  • Solutions for Problem Set Two

  • Solutions for Problem Set Three

  • Solutions for Problem Set Four

  • Solutions for Problem Set Five

  • Solutions for Problem Set Six

    • Take Home Exam

  • Final Problem Set (due 12/15 Friday)