Course Information

Course Code:
Course Number:
Code Course Name Language Type
MAT 425E Stochastic ODE English Elective
Local Credits ECTS Theoretical Tutorial Laboratory
3 6 3 0 0
Course Prerequisites and Class Restriction
Prerequisites MAT 232 MIN DD
or MAT 232E MIN DD
or MAT 201 MIN DD
or MAT 201E MIN DD
or MAT 210 MIN DD
or MAT 210E MIN DD
Class Restriction None
Course Description
Probability space and axioms, random variables, central limit theorem, stochastic processes, Wiener processes (Brownian motion), Ito integrals, ito derivative theorem, existence and uniqueness theorem, weak and strong solutions, solution methods (integrating factor, variation of parameters, first integrals, transformations, etc.) of linear and nonlinear stochastic ordinary differential equations, numerical methods, Feynman-Kac theorem, Girsanov theorem, Fokker-Planck equation and Pawula theorem, Filter problem.