Call Number | 13400 |
---|---|
Day & Time Location |
MW 6:10pm-7:25pm 428 Pupin Laboratories |
Points | 3 |
Grading Mode | Standard |
Approvals Required | None |
Instructor | Lars T Nielsen |
Type | LECTURE |
Method of Instruction | In-Person |
Course Description | Prerequisites: STAT GR5203 or the equivalent. Basics of continuous-time stochastic processes. Wiener processes. Stochastic integrals. Ito's formula, stochastic calculus. Stochastic exponentials and Girsanov's theorem. Gaussian processes. Stochastic differential equations. Additional topics as time permits. |
Web Site | Vergil |
Department | Statistics |
Enrollment | 77 students (100 max) as of 5:08PM Saturday, September 7, 2024 |
Subject | Statistics |
Number | GR5264 |
Section | 002 |
Division | Graduate School of Arts and Sciences |
Open To | GSAS |
Note | Stat MA and Math Finance students only. |
Section key | 20233STAT5264G002 |