Fall Semester -- 2002

Graduate Course Description

Course Title: Stochastic Processes and Applications
Unique Number: M394C (57290) 
Time/Location of Lecture: MW 12:30-2:00 pm 
RLM 12.166
Instructor: Professor Thaleia Zariphopoulou

Brief description:

The course will offer an introduction to several aspects of stochastic analysis for Markov processes.  Among other topics to be covered are martingale theory, stochastic integration and stochastic calculus.  Emphasis will be given on the connection of the stochastic analysis to the theory of partial differential equations, in particular for the case of Markov diffusion processes.  An introduction to Stochastic Control will be also offered as well as applications to optimization models of asset pricing in economics, insurance and finance.

Prerequisite:   M381C (Graduate real analysis course) or by permission of the instructor.

Textbook:   (Recommended)

Consent of Instructor RequiredNo.

E-mail address: zariphop@math.utexas.edu