MS&E322
Stochastic Calculus and Control
Management Science and Engineering
ENGR - School of Engineering
Course Description
Ito integral, existence and uniqueness of solutions of stochastic differential equations (SDEs), diffusion approximations, numerical solutions of SDEs, controlled diffusions and the Hamilton-Jacobi-Bellman equation, and statistical inference of SDEs. Applications to finance and queueing theory. Prerequisites: 221 or STATS 217: MATH 113, 115.
Grading Basis
ROP - Letter or Credit/No Credit
Min
3
Max
3
Course Repeatable for Degree Credit?
No
Course Component
Lecture
Enrollment Optional?
No
Programs
MS&E322
is a
completion requirement
for: