Prerequisites: Math 361B, Math 364A or Math 370A, and Math 380.
Goal:
To provide an elementary introduction to stochastic integrals and stochastic differential equations with applications to finance and engineering.
Grading Policy:
Participation: 20%
Homework: 20%
Exam 1: 20%
Exam 2: 20%
Final Exam: 20%
Remarks:
Class attendance is expected and will be checked from time to time. If you have to miss a class for a valid reason, notify me in advance.
Homework problems will be assigned and collected approximately once every two weeks. No late homework will be accepted.
There will be two midterm exams and a comprehensive final exam. There will be no make-up exams except in extremely unusual circumstances.
Any office hour may be canceled due to illness or necessary appointments, students should therefore not depend upon a faculty member being in his/her office for a particular office hour. Students should secure any necessary signatures or other such requirements well in advance of any deadline.
If you received permission to register for a closed class section, only you can enroll for the course. It is the student's responsibility to complete the registration process before the dates indicated in the Schedule of Classes.
Please refer to the university policy and deadlines for withdrawals. It is the student's responsibility to withdraw from the course. The instructor has no obligation to withdraw students who do not attend classes, and may choose not to do so.
Request for special need for accommodation of a University verified disability should be submitted as soon as possible with all necessary documentation.
The CNSM is committed to providing a safe and positive learning environment and has established a zero-tolerance policy for any sexual/gender-based misconduct, including, but not limited to sexual harassment, assault, dating violence, stalking for all faculty, staff, and students.
As members of The Beach community, we practice tolerance and denounce hate and prejudice. Our classroom will strive to be a place of mutual respect where the focus is on learning and student success.