STA 4930 and STA 6446, Fall 2006

Stochastic Calculus

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, Berlin, 2005.

 

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, Itoís stochastic integrals, Itoís formula and martingale representation theorem, stochastic differential equations, diffusion process and its properties, Girsanovís 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.

 


 

Word and PDF files

Homework Assignments

         ††Assignment 1

         ††Assignment 2

         ††Assignment 3

         ††Assignment 4

         ††Assignment 5

         ††Assignment 6

 

Last modified: November 14, 2006

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