MW 1:10pm–2:25pm · MW 4:10pm–5:25pm
2 distinct times across 2 sections.
1 of 2 sections have room
Prerequisites STAT GR5203 or the equivalent.
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.
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Teaching quality
4.5 / 5
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Difficulty
4.0 / 5 · Hard
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Positive
Sections2
- 31 of 86 seats left
Seat data provenance: Directory as of August 23, 2026 at 4:00 AM
- Full
Seat data provenance: Directory as of August 23, 2026 at 4:00 AM
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Workload and grading
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- Format
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- Credits
- 3 credits
Reported workload
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