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Graduate Courses
21-881 Advanced Stochastic Calculus II
12 units
This is a continuation of 21-880. Topics include Girsanov's theorem, Brownian local time, strong and weak solutions of stochastic differential equations, linear stochastic differential equations, connections between partial differential equations and stochastic differential equations, optimal stopping and stochastic optimal control.
Prerequisite: 21-880.
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