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Course Outline

　

 1. Overview
 2. Markov Chains, Martingales, and Stochastic Control
 3. Brownian Motion
 4. Stochastic Integration
 5. Ito Calculus
 6. Stochastic Differential Equations
 7. Connections to ODEs and PDEs
 8. One Dimensional Diffusions
 9. SDEs with Boundaries
10. Stochastic Control for Diffusions
11. Optimal Stopping
12. Change-of-Measure
13. Statistical Inference for SDEs
14. Weak Convergence to Diffusions
15. Numerical Solution of SDEs

　

　

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