Math 635 - Introduction to Brownian Motion and Stochastic Calculus

Spring 2010

Meetings: TR 13:00-14:15, Van Vleck B329
Instructor: Benedek Valkó
Office: 409 Van Vleck
Phone: 263-2782
Email: valko at math dot wisc dot edu
Office hours: Tuesday 14:30-15:30 or by appointment

I will use the class email list to send out corrections, announcements, please check your email from time to time.

Textbook: Stochastic Calculus and Financial Applications, by M. Steele

Course description: Math 635 is an introduction to Brownian motion and stochastic calculus. Sample path properties of Brownian motion, Ito stochastic integrals, Ito's formula, stochastic differential equations, and properties of their solutions will be discussed. If we have time we will also discuss some financial applications.

Prerequisites: Math 521 and Math 632 (that is, a good level of mathematical maturity and an introductory course on stochastic processes)

This is a write-up by Prof. Seppäläinen on some of the basic concepts of probability theory.

Evaluation: Course grades will be based on homework assignments, a midterm and the final exam. Late homework will not be accepted.


The final exam will be available HERE on May 11. It is due back by 10AM, May 13.