Course Number
625.714
Primary Program
Applied and Computational Mathematics
Location
Online
Mode of Study
Online

The goal of this course is to give basic knowledge of stochastic differential equations useful for scientific and engineering modeling, guided by some problems in applications. The course treats basic theory of stochastic differential equations, including weak and strong approximation, efficient numerical methods and error estimates, the relation between stochastic differential equations and partial differential equations, Monte Carlo simulations with applications in financial mathematics, population growth models, parameter estimation, and filtering and optimal control problems. Prerequisite(s): Multivariate calculus and a graduate course in probability and statistics, as well as exposure to ordinary differential equations.

Course Offering(s)

Open

Introductory Stochastic Differential Equations with Applications

625.714.81
08/30/2021 - 12/14/2021
Semester
Fall 2021
Mode of Study
Online
Location
Online
Cost
$4,755
Textbook
Open

Introductory Stochastic Differential Equations with Applications

625.714.82
08/30/2021 - 12/14/2021
Semester
Fall 2021
Mode of Study
Online
Location
Online
Cost
$4,755
Textbook