INFT 746/CSI 776 Stochastic Calculus
(3:3:0). Prerequisites:
STAT 652 or ECE 630 or ECE 632. Introduction to modern theory of stochastic
calculus such as stochastic integrals, martingales, counting processes,
diffusion processes, and Ito-type processes in general. Applications of the
methods to engineering and biology. The focus is on developing the necessary
concepts rather than mathematical proofs. This course is suited for graduate
students in information technology, electrical engineering, mathematics,
operations research and statistics who would like to develop expertise in
applied probability. It is part one of a two-course sequence. The second
course in concerned with inference and stochastic processes and its
applications.
Taught by M. Habib
Syllabus Available from M. Habib