Course Information

Course Name	Turkish	Stokastik Adi Diferansiyel Denklemler
	English	Stochastic Ordinary Diff. Eqts
Course Code	MAT 425E	Credit	Lecture (hour/week)	Recitation (hour/week)	Laboratory (hour/week)
Semester	2	3	3	-	-
Course Language		English
Course Coordinator		Ahmet Duran Ahmet Duran
Course Objectives		1. To give basic knowledge of stochastic differential equations 2. Use stochastic differential equations for financial modeling, guided by some problems in applications.
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.
Course Outcomes
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Required Facilities
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