Department of Mathematics

Van Vleck Hall, 480 Lincoln Drive, Madison, WI

Math 635: An Introduction to Brownian Motion and Stochastic Calculus

Presents an introduction to Brownian motion and its application to stochastic calculus. Sample path properties of Brownian motion, Ito stochastic integrals, Ito's formula, stochastic differential equations and properties of their solutions, and various applications will be included.
credits: 
3 (N-A)
semester: 
InFrequent
prereqs: 
MATH 521 and 632 or graduate or professional standing or member of the Pre-Masters Mathematics (Visiting International) Program

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

(608) 263-3054

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