Math 880: Stochastic Calculus

Homework and Solutions


Logistical Info

Instructor Gautam Iyer. 
Wean Hall #6121
412 268 8419

For MINOR clarifications and logistical queries, my address is:
(replace "NoSPAM" with "cmu").

For hints or longer questions, come by my office hours and speak to me in person.

Anonymous Feedback

Feedback at any time (either anonymous or signed) is always appreciated. Use this form to send me anonymous (or signed) feedback.

[PS: In a desparate attempt to thwart evil spammers, I've restricted access to this form. Your public IP address should resolve to a hostname ending in]

Lectures MWF 3:30-4:50 in WEH 8201.
Office Hours Mondays 11:30-12:20.
Mailing list math-880

This list will be used for all announcements related to this class. All students (and anyone auditing) should subscribe to this list using the above link. I will NOT use BlackBoard.

NOTE: Any student who is registered for this course on the first day of class will be automatically subscribed this mailing list. Everyone else should subscribe themselves using the above link.

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Homework Schedule, Exams Dates and Grading Rubric

Midterm Wed, Oct 16. (Closed book, in class.)
Final TBA

The final exam is be scheduled by the registrar at a time that can not be changed by mere mortals. You can find more information here.

Grading Midterm: 37.5%, final: 62.5%. (Approximately 20--40% of each exam will consist of questions that appeared on the homework.)

Syllabus and course description

This is an advanced Stochastic Calculus course aimed at Mathematics Ph.D. students. This course will present a rigorous, no holds barred, treatment of all the technicalities involved, and will expect the same level of work from the students. Undergraduates taking this course will be held to the same standard as graduate students.

A detailed list of topics, pre-requisites, and references can be found here.

Class policies


  • There will be 5 to 7 assignments in the semester.
  • Your homework assignments will be presented orally by student "volunteers" in class.
  • Feedback given on homework is for your benefit only, and will not count towards your grade. However, approximately 20--40% of each exam will consist of homework questions.


  • All exams are closed book, in class exams.
  • Exams from previous years are/will be hosted here, in the Handouts section.
  • 20--40% of each exam will make you regret not doing the homework.

Last Modified: Sun 19 Jul 2015 03:30:26 PM EDT