Math 645 Syllabus, Fall 2006-2007 Academic Year
Office: 490 Carver Hall
Office hours: Monday 2:00pm-3:30pm, Thursday 3:30pm-4:30pm
Tel:294-8169; E-mail:bosu@iastate.edu
Text Book: Introduction to Stochastic Differential Equations by L. C. Evans http://math.berkeley.edu/~evans/SDE.course.pdf
Topics To Be Covered:
(i) Review of Probability Theory; (ii) Brownian Motion and "White Noise"; (iii) Stochastic Integrals; (iv) Stochastic ODEs; (v) Applications.
Homework, Exams, and Grades: There will be 4-5 sets of homeworks. The final exam is planned to be take-home.