MATH5805 is a Mathematics Level V course. See the course overview below.

Units of credit: 6

Prerequisites:

Cycle of offering: Course not offered every year.

Graduate attributes: the course will enhance your research, inquiry and analytical thinking abilities.

More information: this recent course handout (pdf) contains information about course objectives, assessment, course materials and the syllabus. (This pdf will usually be updated by the end of the first week of the semester

The Online Handbook entry contains up-to-date timetabling information.

If you are currently enrolled in MATH5805, you can log into the My eLearning Vista instance of this course.

Stochastic Differential Equations (SDEs) have wide applications in Science, Engineering and Economics. The concept of Brownian Motion (one of the building blocks in the theory of SDEs) was introduced by L. Bachelier in Economics and by A. Einstein in Statistical Physics almost at the same time at the beginning of the XX-th century. Another motivation for the theory of SDEs is their application to the analysis of deterministic partialdifferential equations. This application was the main motivation for K.

Ito who developed a rigorous mathematical theory of SDEs in the early fifties of the XX-th century. Since that time SDEs were applied to study a large variety of linear and nonlinear partial differential equations like heat equation, Poisson equation, Hamilton-Jacobi equations and others.

In this course you will learn about basic properties of SDEs and their relationship with partial differential equations.

The course will provide a thorough foundation for applications of SDEs in Applied Sciences and Finance.