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