MS&E 322 Stochastic Calculus and Control (Spring 2015)
Department of Management Science and Engineering
Location: Building 60 Room 120
Time: Mon, Wed, Fri 4:15 PM - 5:30 PM
Instructor: Prof. Peter W. Glynn
Email: glynn "at" stanford "dot" edu
Office Hours: To Be Announced
Course Assistant: Rob J. Wang
Email: robjwang "at" stanford "dot" edu
Office Hours: Wed. Huang 219, 12-1 PM; Thurs. Y2E2 178 4-5 PM.
Brownian Motion, Martingales, Stochastic Integration, Stochastic Differential Equations (SDE's), Connection with Partial Differential Equations, Stochastic Control for Diffusions, Statistical Inference for SDE's, Applications to Finance and Queueing Theory.
The primary textbook will be "Stochastic Calculus and Financial Applications" by J. Michael Steele. An optional reference is "Stochastic Differential Equations - An Introduction with Applications" by Bernt Øksendal.
Course lecture notes will be distributed via Coursework.
There will be 4 assignments (50%) and an in-class final exam (50%). The assignments will be distributed via Coursework.
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 at Huang 314M. 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.