George Mason University, Department of Mathematical Sciences

STOCHASTIC DIFFERENTIAL EQUATIONS brought to you by Dr. Harbir Lamba


Click here for the syllabus. We will be using the book by Steele and full details can be found at the GMU bookstore website.


Announcements:

2/15/2026 The first project is here

2/5/2026 The homework questions for Tuesday are Exercises 2.1, 2.2 and 2.4.

1/30/2026 The homework questions for Tuesday are Exercises 1.2bc.

1/27/2026 The homework solutions are here. Please read through them carefully before the next class and we can discuss them. This should save a lot of the class time we are losing today. Also please read ahead and finish Chapter 1 (but ignore the details of Section 1.3).

1/27/2026 IMPORTANT: The University has (finally) cancelled all classes for today, not just the morning ones. It is too late to arrange a virtual class so I will post the solutions to the homework exercises here shortly together with some suggested reading you should do before our next class.

1/23/2026 The homework exercises for Tuesday are 1.1, 1.2 and 1.3.