Nov 26, 2024  
2014-2015 Undergraduate Bulletin 
    
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2014-2015 Undergraduate Bulletin [ARCHIVED BULLETIN]

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MATH 158 - Stochastic Process and Brownian Motion

Semester Hours: 3
Periodically
The course will cover various stochastic processes, the relation between the probability density function and the Feynman-Kac equation, and the effects of changing the probability density function through the use of the Radon-Nikodym derivative. Results will be applied to the pricing of derivatives. Topics covered by this course include the following: Sigma algebra and filtration; Martingale process; stopping times; Doob-Meyer decomposition; Markov property; Brownian motion; the Radon-Nikodym derivative; Girsanov Theorem; the stochastic integral; and the Feynman-Kac Formula.

Prerequisite(s)/Course Notes:
MATH 138 . May not be taken on a Pass/D+/D/Fail basis.




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