Instructor:
Dr. Hongwei Long, office: SE 268, phone: 297-0810, e-mail: hlong@fau.edu
Course homepage: http://www.math.fau.edu/long/STA6446.htm
Time and Place:
MWF 12:00-12:50pm in GS 109.
Office Hours:
MWF 10:30-11:30am and 3:30-4:30pm in SE 268.
Other times by appointment or just stop by the office.
Textbook:
Stochastic Differential
Equations: An Introduction with Applications, 6th Edition, by Bernt Oksendal, Springer,
Course Description:
This course is an introduction to stochastic calculus. It intends to present the basic ideas, concepts and methods of stochastic calculus to students with some background in probability based upon measure theory. Topics to be covered include Brownian motion, Ito’s stochastic integrals, Ito’s formula and martingale representation theorem, stochastic differential equations, diffusion process and its properties, Girsanov’s theorem, linear filtering problems, and
applications to mathematical finance (basically chapters 2-8 and chapter 12 of the textbook).
Prerequisites: STA 4442 or STA 6444.
Exams:
Take-home midterm |
Tentatively October 9-11 |
Final |
Friday, December 1, 10:30am-1:00pm, location: GS 109. Closed book exam. |
Assignments:
There will be about six homework assignments. These will involve using methods presented in class to solve problems from the textbook. Assignments should be handed in on the due date. Late assignments will not be accepted.
Grading:
Grading will be based on the following weighting:
30% Assignments
30% Midterm exam
40% Final exam
There will be no make-up midterm. If a student has an acceptable excuse for missing the midterm, the weight of the midterm will be shifted to the final. Make-up final exam will be given only under exceptional circumstance, and written, verifiable excuses must be provided.
· Homework Assignments
Last modified: November 14, 2006
long