STAT 4264Section 002Fall 20263 credits
Stochastc Procsses-Applictns I
Call number
Monday and Wednesday
4:10pm–5:25pm
HAVEMEYER HALL HAV 209
Morningside
Seat data provenance: Directory as of August 23, 2026 at 4:00 AM
Description
Prerequisites: STAT GU4203. STAT GU4207 is recommended. 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.
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