Math 21880: Stochastic Calculus

WF 10:30am-11:50am Room 8220

Instructor: Xi Geng

  • Office: 7109
  • Office Hours: F 3:30pm-4:30pm
  • Email: xig@andrew.cmu.edu

    • Course Materials:

  • Course description
  • Lecture notes
  • References: (1) N. Ikeda and S. Watanabe, Stochastic differential equations and diffusion processes, 2nd edition, 1989.
    (2) I.A. Karatzas and S.E. Shreve, Brownian motion and stochastic calculus, 2nd edition, 1991.
    (3) D. Revuz and M. Yor, Continuous martingales and Brownian motion, 3rd edition, 2004.
    (4) L.C.G. Rogers and D. Williams, Diffusions, Markov processes and martingales, Volume 1 and 2, 2nd edition, 1994.

    • Grading

  • There will be no mid-term exam.
  • Final Grade = Homework (40%)+Final exam (60%).

    • Homework:

    Homework 1

  • Problem Sheet 1

    Homework 2

  • Problem Sheet 2

    Homework 3

  • Problem Sheet 3

    Homework 4

  • Problem Sheet 4

    Homework 5

  • Problem Sheet 5

    Homework 6

  • Problem Sheet 6

    • Final Exam

  • Time and place: 12/12 1:00pm-4:00pm GHC 4215
  • Exam questions
    •