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STAT GU4264 Stochastic Processes and Applications. 3 points.

Prerequisites: STAT GU4203. STAT GU4207 is recommended.

Basics of continuous-time stochastic processes. Wiener processes. Stochastic integrals. Ito's formula, stochastic calculus. Stochastic exponentials and Girsanov's theorem. Gaussian processes. Stochastic differential equations. Additional topics as time permits.

Fall 2018: STAT GU4264
Course Number Section/Call Number Times/Location Instructor Points Enrollment
STAT 4264 001/20484 M W 6:10pm - 7:25pm
Room TBA
3 7/35
STAT 4264 002/67237 M W 4:10pm - 5:25pm
Room TBA
Lars Nielsen 3 3/35

Statistics

http://bulletin.columbia.edu/general-studies/undergraduates/majors-concentrations/statistics/

The Statistics Department Office: 1005 School of Social Work (1255 Amsterdam Avenue); 212-851-2132 http://www.stat.columbia.edu

Statistics

http://bulletin.columbia.edu/barnard-college/courses-instruction/statistics/

...on STAT GU4262 Stochastic Processes for Finance , STAT GU4264 Stochastic Processes and Applications , or STAT...

Statistics

http://bulletin.columbia.edu/columbia-college/departments-instruction/statistics/

...on STAT GU4262 Stochastic Processes for Finance , STAT GU4264 Stochastic Processes and Applications , or STAT...