Legacy Course Catalog
MA 637 - Stochastic Integration
| Effectivity: | 05/19/2003 - Fall 2007 *** @ Purdue West Lafayette Traditional |
|---|---|
| Credits: | 3 |
| Instructional Types: | Lec |
| Usually Offered: | spr |
| Short Title: | Stochastic Integration |
| Description: | Review of martingale theory, including the Martingale Convergence Theorem, Doob's Optional Sampling Theorem, Doob's maximal quadratic inequality. Brownian motion and related processes, with emphasis on properties relevant to stochastic integration (sample path properties, martingale properties, quadratic variation). Stochastic integration and its properties. Ito's change of variables formula and its applications. Stochastic differential equations and their properties (existence and uniqueness, Markov properties, flows). Related topics. Prerequisite: MA 53900 or STAT 53900. |
| School: | School Of Science |
| Department: | Mathematics |
| Credit By Exam: | NO |
| Repeatable Flag: | NO |
| Temporary Flag: | NO |
| Full Time Privilege Flag: | NO |
| Honors Flag: | NO |
| Variable Title Flag: | NO |
Fall 2007 *** indicates the course was still an active course and was transferred to the Banner Catalog effective Spring 2008. This course was not expired Fall 2007.
