Course Information

Code	Course Name	Language	Type
MAT 425E	Stochastic ODE	English	Elective

Local Credits	ECTS	Theoretical	Tutorial	Laboratory
3	6	3	0	0

Course Prerequisites and Class Restriction
Prerequisites	MAT 232 MIN DD or MAT 232E MIN DD
Class Restriction	None

Course Description

Probability space and axioms, random variables, central limit theorem, stochastic processes, Wiener processes (Brownian motion), Ito integrals, ito derivative theorem, existence and uniqueness theorem, weak and strong solutions, solution methods (integrating factor, variation of parameters, first integrals, transformations, etc.) of linear and nonlinear stochastic ordinary differential equations, numerical methods, Feynman-Kac theorem, Girsanov theorem, Fokker-Planck equation and Pawula theorem, Filter problem.

Phone

+90 212 365 78 00-99 (100 line)

Fax

+90 212 285 29 09

İTÜ Ayazağa Campus

Registrar's Office
34469 Maslak - İstanbul

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Clarification Text

Registrar's Office

ogrenciisleri@itu.edu.tr

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