in RH 306 MWF 12.00-12:50.
This is an introductory graduate sequence in stochastic processes.
The course sequence is intended as an introduction to stochastic
analysis for students of Mathematics, but also to students in Engineering,
Economics or Finance that wish to study stochastic processes and
In Mathematics 271A
the course sequence starts with basic notions of stochastic processes
and an introduction to Brownian motion.
Then we discuss important tools of modern stochastic calculus.
In mathematics 271B we study stochastic differential equations
and diffusions in more detail.
We discuss martingales and martingale problems.
In 271C we will discuss applications to numerical techniques for stochastic differential
equations in the context of Mathematical Finance.
We will also discuss
asymptotic analysis of multiscale stochastic ordinary differential equations in general
and how this relates to stochastic modeling and numerics, to the extent time permits.