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General Information

Course Description

This course introduces and develops the basic concepts of stochastic calculus and control, with an emphasis on a wide variety of applications settings including finance, economics, queueing theory, risk theory and engineering in general. The topics covered include Brownian motion, construction of the Ito integral, the existence and uniqueness of solutions of stochastic differential equations (SDEs), diffusion approximations, numerical solutions of SDEs, controlled diffusions and the Hamilton-Jacobi-Bellman equation, and statistical inference and parameter estimation for SDEs. A major theme will be to point out the analogies between the more familiar theory of Markov chains and the corresponding concepts in the SDE setting.

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Contact Information

Instructor TAs

Professor Peter Glynn
Office: Huang Engineering Center 357

Gustavo Schwenkler
Office: Huang Engineering Center 141L

Chang-Han Rhee
Office: Huang Engineering Center 053J

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Lectures and Office Hours


Time: Mon, Wed, Fri 11:00 AM - 12:15 PM.
Location: Hewlett Teaching Center 103.

Office Hours

Professor Glynn: Tuesday, April 24, 2-3 PM, and Thursday, April 26, 1:30-2:00 PM
Gustavo: Wednesday, April 25, 4:00-5:30 PM, conversation room by 141 cubicles
Chang-Han: Friday, April 27, 3:00-4:30 PM, outside of the ICME lobby (Huang 060)

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50% assignments and 50% final exam.

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Homework Policy

A homework will have a score reduced by 10% for each day of lateness, and will not be accepted on or after the fourth day of the due date (a solution will then be posted). Counting of lateness starts at the exact due time. Please communicate with the instructor or TA beforehand in circumstances such as illness or family emergency.

The Stanford Honor Code will apply to all assignments, both in and out of class. Copying homework from another student (past or present) is forbidden. However, collaboration is encouraged, provided each student documents on each assignment with whom he/she worked.

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