Math 9310(002) Probability Seminar II Spring 2008
Professor Wei-Shih Yang
Time: Friday 10:50AM - 1:20PM
Place: Wachman 527
Please email Professor Wei-Shih Yang at
yang@temple.edu if you are interested in this course.
Course Prerequisites:
Math 8041 or permission of instructor.
Course Goals:
This course covers the major areas of stochastic analysis. It focuses on the theory of stochastic integration
and its applications to partial differential equations and mathematical finance.
Topics Covered:
Martingales, Brownian motion, stochastic integral,
diffusion processes, stochastic differential equations,
the Ito formula, the Feynman-Kac functional and the schrodinger equation, the Black-Scholes equation
and mathematical finance.
Books:
1. Ruth Williams " Introduction to the Mathematics of Finance", American Mahmatical Society, 2006
2. Rong Sito "Theory of Stochastic Differential Equations with Jumps and Applications", Springer, 2005
3. Ludwig Arnold "Stochastic Differential Equations: Theory and Applications", John Wiley & Sons, New York 1974
4. R. Durrett "Stochastic Calculus A Practical Introduction", CRC,
1996