Math 735 Stochastic Differential Equations

Course Outline

Lecture Notes  pdf  (Revised September 7, 2001)

These lecture notes have been developed over several semesters with the assistance of students in the course. For many (most) results, only incomplete proofs are given. Gaps in the proofs are numerous and do not need to be reported; however, the author would appreciate learning of any other errors.

Good problems for this course are difficult to come by. Please feel free to borrow mine (many of which have been borrowed from other places), and I would appreciate copies of yours.

No attempt has been made to give references for the original sources of the material included. For an excellent and systematic treatment, complete with proofs and references, see Stochastic Integration And Differential Equations. A New Approach by Philip Protter.