MATH 286. Stochastic Differential Equations (4 units)
Link to catalog page: https://catalog.ucsd.edu/courses/MATH.html#math286
Description
Review of continuous martingale theory. Stochastic integration for continuous semimartingales. Existence and uniqueness theory for stochastic differential equations. Strong Markov property. Selected applications. Prerequisites: MATH 280A-B or consent of instructor.
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Successor courses
No courses have MATH 286 as a prerequisite.