MATH590: Stochastic calculus (STC)

Module overview

Stochastic calculus and process introduces a rigorous mathematical description based upon set theory to describe what is intuitively perceived as randomness.

• Probability theory

• Random variables

• Probability densities

• Conditional expectations

• Stochastic processes

• Brownian motion

• Diffusion

• Karhunen-Loève theorem, relation to singular value decomposition