College of Education and Human Development - George Mason University

MATH 674: Stochastic Differential Equations

Important: For the most up-to-date information, refer to the official George Mason Course Catalog

General Information

Credits: 3

Description:

Introduces stochastic calculus and differential equations. Includes Wiener process, Ito and Stratonovich integrals, Ito formula, martingales, diffusions, and applications, including financial applications. Simulations and numerical approximations of solutions. Offered by Mathematics. May not be repeated for credit.
Recommended Prerequisite: MATH 214 and 351.
Registration Restrictions:

Enrollment limited to students with a class of Advanced to Candidacy, Graduate, Non-Degree or Senior Plus.

Enrollment is limited to Graduate, Non-Degree or Undergraduate level students.

Students in a Non-Degree Undergraduate degree may not enroll.

Schedule Type: Lecture
Grading:
This course is graded on the Graduate Regular scale.