Click here for the syllabus. We will be using the book by Steele and full details can be found at the GMU bookstore website.
4/7/2026 Please attempt Exercise 9.3 before Thursday's class. We will start on Chapter 10 then. Next Tuesday's class will be via zoom. I will send you all a link via email before then. However there is a chance that I will have to record a lecture instead so please keep checking this webpage and your email until just before the class starts.
4/3/2026. The homework exercises for Tuesday are 9.1 and 9.2. You will have to read the half page on solving the Ornstein-Uhlenbeck equation first that we didn't have time to finish in class.
3/27/2026 On Tuesday we will hopefully cover the rest of Section 8.4 and all of 8.5in detail. Please read these sections ahead of time if you can.
3/20/2026 The homework exercises for Tuesday are 8.2, 8.3 and 8.4.
3/11/2026 The solutions to the midterm homework questions are here. Sorry about the overlap between a couple of the pages!
3/4/2026 In class yesterday we proved the Ito Isometry on H^2_0 and started the calculation of \int B_s dB_s in Section 6.4.
2/17/2026 In class yesterday we covered most of Section 5.3. Next week we will talk briefly about Section 5.4 and 5.5 before moving on to the definition of stochastic integrals in Chapter 6. I won't set any homework exercises this week so make a start on the first project if you haven't already.
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.