| Name | Office | Phone | Office Hours | |
|---|---|---|---|---|
| George Papanicolaou | 383V | 723-2081 | Tuesdays 4:00-6:00pm and by appointment or email | papanico at math dot stanford dot edu |
The textbook for the course is "Stochastic Differential Equations ", Sixth Edition, by Brent Oksendal. It should be in the bookstore. We will cover Chapters 1-5 approximately. I will NOT use the rest of the book.
Lecture notes for this course are available in the homework section.
The following books are recommended for background reading or for special topics: G. Grimmett and D. Stirzaker, Probability and Random Processes; L. Breiman, Probability; J.L. Doob, Stochastic Processes; R. Durrett, The essentials of probability; R. Durrett, Stochastic Calculus; L. Breiman, Probability and Stochastic Processes, an Introduction; W. Strauss, Introduction to Partial Differential Equations; L.C. Evans, Partial Differential Equations. Also recommended for a more complete treatment of SDE: I. Karatzas and S. Shreve, Brownian Motion and Stochastic Calculus, Second Edition.
There will be an in-class mid-term exam (closed books and notes) on Tuesday, February 5. It will count for 25 percent of the grade. There will be an in-class final exam (closed books and notes) during the week of March 18 (exact date and time to be announced). The final exam will count for 50 percent of the grade The homeworks will count for 25 percent of the grade I will give homework sets roughly each week, beginning on January 10 and they will be due one week later. The CAs will grade the homeworks. We will provide solutions to the homework problems one week after they are assigned.
The course assistant is: Dai Shi, shidai at stanford dot edu. His office hours are Thursdayes 4-6pm in GESB 131.