MS&E 322 Stochastic Calculus and Control (Spring 2015)

Department of Management Science and Engineering,
Stanford University

Information

    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: To Be Announced

Course Description

    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.

Materials

    The primary textbook will "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.

Evaluation

    There will be 4 assignments (50%) and a final exam (50%). The assignments will be distributed via Coursework.