MA451
Introduction to Stochastic Calculus
0.5 Credit

Hours per week:
  • Lecture/Discussion: 3

Conditional expectations, sigma-algebras, and filtrations; martingales and stopping times; Gaussian processes and Brownian motion; stochastic integration and Ito's formula; diffusion processes and stochastic differential equations; the Feynman-Kac theorem.

Additional Course Information
Prerequisites
MA350; and either MA340 or ST359.
Exclusions
MA351.
 

Senate/Editorial Changes

Senate Revision May 28, 2015: MA451 Prerequisite revised; effective September 1, 2015.