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Fall 2017 Statistics GR5264 section 002
STOCHASTC PROCSSES-APPLICTNS I

Call Number 72644
Day & Time
Location
MW 4:10pm-5:25pm
517 Hamilton Hall
Points 3
Approvals Required None
Instructor Lars T Nielsen
Type LECTURE
Course Description Prerequisites: STAT GR5203 or the equivalent. 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.
Web Site CourseWorks
Department Statistics
Enrollment 80 students (81 max) as of 7:01PM Saturday, September 23, 2017
Subject Statistics
Number GR5264
Section 002
Division Graduate School of Arts and Sciences
Open To Graduate School of Arts and Science
Campus Morningside
Note Stat MA & Math Finance Program students only
Section key 20173STAT5264G002

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SIS update 09/23/17 19:01    web update 09/24/17 15:03