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MS&E 322 Stochastic Calculus and Control (Canvas Link)

Spring 2019

Instructor Information

Intructor
Prof. Peter W. Glynn
Office
Huang Engineering Center, Room 359A
E-mail
glynn AT stanford DOT edu
Office Hours
See announcements during the quarter.
Course Assistant
Lin Fan
Office
Huang Engineering Center, Desk 314W
E-mail
linfan AT stanford DOT edu
Office Hours
See announcements during the quarter.

Time and Location

Time
Mon, Wed, Fri 3:00 PM - 4:20 PM. Not all 29 lecture time slots will be used. Classes will definitely NOT be held on April 22 (Mon.), April 24 (Wed.), April 26 (Fri.). There will be announcements in class and on the course website regarding any other class periods that will not be used.
Location
Thornton 210

Course Topics

Brownian Motion, Martingales, Stochastic Integration, Stochastic Differential Equations (SDEs), Connection with Partial Differential Equations, Stochastic Control for Diffusions, Statistical Inference for SDEs, Applications to Finance and Queueing Theory.

Prerequisites

Students should have a reasonable background in real variables (e.g. limits, epsilon-delta arguments, etc) and linear algebra (e.g. vector spaces, matrices, eigenvalues, eigenvectors, diagonalization). In addition, students should enter the class with some basic preparation in probability (knowledge of sample space, events, probability, conditional probability, independence, random variables, jointly distributions, probability mass functions, probability density functions, expectations, law of large numbers, central limit theorem).

Textbooks

Stochastic Calculus and Financial Applications, by J. Michael Steele (Required)
Stochastic Differential Equations - An Introduction with Applications, by Bernt Oksendal (Optional)

Assignments

There will be 4 assignments (50%).

Exams

Tentatively, there will be an in-class final exam (50%), taking place from 3:30 PM to 6:30 PM on Friday, June 7th. (A 48-hour take-home exam is an alternative possibility.)

Late Policy

Each assignment is due in class (hard copy) on the indicated date. Afterwards, it becomes one day late. Each late day is penalized by 20%, and solutions will be posted after 5 days. Late work should be submitted to the CA's desk. To allow for sickness, interviews, and other events, up to 4 late days are forgiven at the end of the quarter. (However, work late enough to get zero does not get redeemed.) Extraordinary circumstances (e.g. severe illness/injury, family emergency), if they arise, should be brought to the attention of Prof. Glynn as soon as possible, so that other arrangements can be made on a case-by-case basis.

 

 

Monday, 18-Mar-2019 16:17:16 PDT