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STOCHASTIC ANALYSIS

MATH 735
Course Description

Foundations of continuous time stochastic processes, semimartingales and the semimartingale integral, Ito's formula, stochastic differential equations, stochastic equations for Markov processes, application in finance, filtering, and control. The course relies on measure theoretic probability theory that can be reviewed at the beginning of the semester.

Prerequisites

Graduate/professional standing or member of the Pre-Masters Mathematics (Visiting International) Program

Satisfies

This course does not satisfy any prerequisites.

Credits

Not Reported

Offered

Not Reported

Grade Point Average
3.3

-7.34% from Historical

Completion Rate
95%

-4.1% from Historical

A Rate
55%

-14.89% from Historical

Class Size
20

-15.09% from Historical

Cumulative Grade Distribution

Instructors (2026 Summr)

Sorted by ratings from Rate My Professors

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