Math 227 Winter 2008

Partial Differential Equations and Diffusion Processes

My Office: 382-P (in the math building, Bldg. 380)
My E-mail: jnolen "at" math.stanford.edu
My Office Hours: Mondays 10:30-12, Thursdays 4-5:30, or by appointment

Course Assistant: Kamil Szczegot
Kamil's office: 380-M
Kamil's email: kamil "at" math.stanford.edu
Kamil's office hours: Mondays 9:30-11am, Wednesdays 9-11am, 3-5:30pm.

This is an introductory graduate-level course in partial differential equations emphasizing connections with diffusion processes and applications in financial mathematics. We will cover parabolic and elliptic partial differential equations. We will also cover some nonlinear equations and their relation to optimal control problems. This course will be good preparation for Stats220 (Continuous time stochastic control) which will be offered in the Spring 2008 quarter.

Prerequisites: MATH 131 and Math136/Stats 219 (or the equivalent) are prerequisites. The course will be well-suited to students taking Math 236 (introduction to stochastic differential equations) concurrently, but this is not required. You do not need to be experienced with stochastic calculus. However, you should be familiar with basic concepts related to Brownian motion and martingales, at the level of Math136/Stats219. The course notes for Math136/Stats219 may be found here, in case you need to review.

For a course syllabus, click here.

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Please contact me if you have questions regarding the course.

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