An Introduction to Stochastic Ordinary Differential Equations

Friday, January 11, 2013 - 9:00am - 12:00pm
Lind 305
These two lectures give an introduction to scalar stochastic ordinary
differential equations. During the first lecture, we introduce Brownian
motion and its general properties, and also give a general overview of
the main questions of stochastic integration. The second lecture is more
theoretical in nature and introduces the stochastic Ito integral, its
basic properties including the Ito formula, stochastic ordinary differential
equations, as well as examples such as the Ornstein-Uhlenbeck process.
MSC Code: