Wilfrid Laurier University Undergraduate Academic Calendar - 2012/2013
Canadian Excellence

MA451
Introduction to Stochastic Calculus
0.5 Credit

Conditional expectations, sigma-algebras, and filtrations; martingales and stopping times; Gaussian processes and Brownian motion; stochastic integration and Itos formula; diffusion processes and stochastic differential equations; the Feynman-Kac theorem.

Additional Course Information
Prerequisites
MA340 and MA350.
Exclusions
MA351.
Notes
3 lecture hours

Senate/Editorial Changes

Senate Revision May 23, 2012: MA451 Renumbered from MA351 and prerequisite change; effective September 1, 2012.