Office: 416 Brink Hall. Phone: 885-6317
Office Hours:
Class Time: TTh 10:30 - 11:45
Place: McClure 315
Text:F. Klebaner, Introduction to Stochastic Calculus
with Applications,
Imperial College Press. NOTE CHANGE: This book is apparently out
of print, so the recommended text for the course in the bookstore will be Oksendal
(see below).
This is a special topics course on stochastic differential equations
and diffusion processes. We will begin with a development of the
Ito stochastic integral. This leads to a ``stochastic calculus" that
is genuinely and beautifully different from ordinary calculus. For
example, there is an extra (and very important) term in the usual integration by parts
formula. With these tools, we then explore stochastic differential equations
and their solutions, called diffusion processes. We will learn where
stochastic differential equations come from (i.e., why they are so important)
and how to do calculations of various quantities of interest. We also
consider some real examples from population genetics.
Grades will be based on homework. No exams.
Homework Solutions:
http://www.uidaho.edu/newton.
Preliminary Course Outline: (subject to some change in content and order)
Additional References: