Undergraduate Catalog

MATH 422 Stochastic Differential Equations

Stochastic Differential Equations are used extensively in economics and finance. Reflecting this, this course provides an introduction to stochastic differential equations emphasizing applications and computations. It considers strategies for exact, approximate, and numerical solutions of SDEs, and emphasizes the relationship with partial differential equations.

Credits

3

Prerequisite

MATH 314, or MATH 324

Offered

Fall Spring