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MS&E 322 Stochastic Calculus and Control

Spring 2017

Instructor Information

Intructor
Prof. Peter W. Glynn
Office
Huang Engineering Center, Room 359A
E-mail
glynn AT stanford DOT edu
Office Hours
TBD
Course Assistant
Rob J. Wang
Office
Huang Engineering Center, Desk 314M
E-mail
robjwang AT stanford DOT edu
Office Hours
TBD

Time and Location

Time
Mon, Wed, Fri 3:00 PM - 4:20 PM
Location
Building 380 Room 380D

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

There will be an in-class final exam (50%).

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.

Materials

All course materials will be distributed via Canvas.

 

 

Wednesday, 22-Feb-2017 20:18:30 PST