| Call Number | 15206 |
|---|---|
| Day & Time Location |
MW 4:10pm-5:25pm 428 Pupin Laboratories |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | Graeme Baker |
| 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 | 95 students (100 max) as of 9:05PM Thursday, January 30, 2025 |
| Subject | Statistics |
| Number | GR5264 |
| Section | 001 |
| Division | Graduate School of Arts and Sciences |
| Note | Stat MA and Math Finance students only. |
| Section key | 20243STAT5264G001 |