George Mason University, Department of Mathematical Sciences

STOCHASTIC DIFFERENTIAL EQUATIONS brought to you by Dr. Harbir Lamba

Click here for the syllabus.

Because there are so few of you, and the textbook is very self-contained, I am planning, each weekend after this, to give you supplemental notes for the textbook emphasizing, in particular exactly which bits you need to read and understand. Make sure that you are all online during the classtimes and I will answer any individual questions you have about the material. I will then pass on the question and my response to the other students if appropriate. The same goes for the official office hours. I will also have extra office hours every week on Friday 10-11am unless I say otherwise. You can of course email me any time with questions but the reply may take a bit longer.

UPDATE (March 30). The answers to Exercise 8.2 and the midterms are here (I left out most of the explanations and focused on the calculations themselves). You should have received my supplemental notes for this week's class by email.