Advanced Topics in Stochastic Analysis
9 units (3-0-6) |
Prerequisites: ACM/CMS/EE/IDS 117.
The topic of this course changes from year to year and is expected to cover areas such as stochastic differential equations, stochastic control, statistical estimation and adaptive filtering, empirical processes and large deviation techniques, concentration inequalities and their applications. Examples of selected topics for stochastic differential equations include continuous time Brownian motion, Ito's calculus, Girsanov theorem, stopping times, and applications of these ideas to mathematical finance and stochastic control. Not offered 2021-2022.
The online version of the Caltech Catalog is provided as a convenience; however, the printed version is the only
authoritative source of information about course offerings, option requirements, graduation requirements,
and other important topics.