**Instructor:**

Dr. Hongwei Long, office: SE 268, phone: 297-0810, e-mail: hlong@fau.edu

Course homepage: http://math.fau.edu/long/STA6446S10.htm

**Time and Place:**

MWF 12:00-12:50pm in BU 411.

**Office Hours:**

MWF 2:30-4:30pm 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 and Objectives:**

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). The students are expected to understand and master basic concepts and methods in stochastic calculus with applications to stochastic modeling of real world problems arising in science and engineering.

**Prerequisites:** STA 4442 or STA 6444.

**Exams:**

Take-home midterm |
Tentatively March 1-5 |

Final |
Friday, April 30, 10:30am-1:00pm, location: BU 411. 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.

**Honor Code:**

Students at

.

**Students with Disabilities:**

In compliance with the Americans with Disabilities Act (ADA), students who require special accommodations due to a disability to properly execute coursework must register with the Office for Students with Disabilities (OSD) located in Boca Raton-SU 133 (561-297-3880), in Davie-MOD I (954-236-1222), in Jupiter- SR 117 (561-799-8585), or at the Treasure Coast- CO 128 (772-873-3305), and follow all OSD procedures.

Last modified: April 28, 2010

long