Statistics 650: Stochastic Differential Equations


LAST UPDATE: 19 April   2012 at 09:00.

Time & Location: Tuesday & Thursday 9:25-10:40 in Herzstein 211

Required Text:  Stochastic Calculus and Financial Applications, by J. Michael Steele.

Instructors:

Chris Calderon

Office: ???? Duncan Hall (DH)

phone: 2695 (longphone: +1-713-348-2695)

email: calderon@rice.edu

Office Hours:

   TBA

AND

Dennis D. Cox

Office: 2095 Duncan Hall (DH)

phone: 6007 (longphone: +1-713-348-6007)

email: dcox@rice.edu

Office Hours:

   TBA.


Description: This course will cover both theory and applications of stochastic differential equations. Topics include: the Langevin equation from physics, the Wiener process, white noise, the martingale theory, numerical methods and simulation, the Ito and Stratonovitch theories, applications in finance, signal processing, materials science, biology, and other fields.



Syllabus:

  TBA


Grading:

 60% Homework.

 40% Final Project.


Links

  1. Homeworks
  2. Lesson on Integrating Factors



 

Any student with a disability requiring accommodations in this course is encouraged to contact  Dr. Cox  after class or during office hours. Additionally, students should contact Disability Support Services in the Ley Student Center.

Send problems or suggestions to dcox@stat.rice.edu If you have anything cool to add to this website, I would really like to hear of it.