Department of Mathematics

Van Vleck Hall, 480 Lincoln Drive, Madison, WI

Math 635: An Introduction to Brownian Motion and Stochastic Calculus

Student Body: 

Advanced undergraduate and graduate students

Background and Goals: 

This course is an introduction to Brownian motion, stochastic calculus, and some applications. The course does not require knowledge of measure theory. It is advisable to have some prior familiarity with elementary probability and stochastic processes.

Alternatives: 

N/A

Subsequent Courses: 

N/A

Course Content: 
  • Brownian motion
  • Ito stochastic integrals
  • Ito's formula
  • Stochastic differential equations and properties of their solutions
  • Applications including finance
credits: 
3 (N-A)
semester: 
InFrequent
prereqs: 
Math 521 and 632.

UW-Madison Department of Mathematics
Van Vleck Hall
480 Lincoln Drive
Madison, Wi  53706

(608) 263-3054

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