Stochastic Calculus and Control

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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.

Grading Basis

ROP - Letter or Credit/No Credit

Min

3

Max

3

Course Repeatable for Degree Credit?

No

Course Component

Lecture

Enrollment Optional?

No

Programs

MS&E322 is a completion requirement for:
  • (from the following course set: )
  • (from the following course set: )