MS&E322 - Stochastic Calculus and Control

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.
Career
Graduate
Grading Basis
ROP - Letter or Credit/No Credit
Min
3
Max
3
Course Repeatable for Degree Credit?
No

Course Component
Discussion
Enrollment Optional?
Yes
Course Component
Lecture
Enrollment Optional?
No