Stochastic Differential Equations: An Introduction with Applications
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This course is an introduction to stochastic differential equations and applications. Basic topics to be reviewed include Ito and Stratonovich integrals, Ito formula, SDEs and their integration. The course will focus on diffusion processes and diffusion theory, with topics include Markov properties, generator, Kolmogrov’s equations (Fokker-Planck equation), Feynman-Kac formula, the martingale problem, Girsanov theorem, stability and ergodicity. The course will briefly introduce applications, with topics include statistical inference of SDEs, filtering and control.
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