MATH 674 - Stochastic Differential Equations

Institution:

George Mason University

Subject:

Description:

Credits: 3 Introduces stochastic calculus and differential equations. Includes Wiener process, Ito and Stratonovich integrals, Ito formula, martingales, diffusions, and applications, including financial applications. Simulations and numerical approximations of solutions. Prerequisites MATH 214 and 351 Hours of Lecture or Seminar per week 3 Hours of Lab or Studio per week 0

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.gmu.edu

Phone Number:

(703) 993-1000

Regional Accreditation:

Southern Association of Colleges and Schools

Calendar System:

Semester

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