Teaching

ACM 217. Stochastic Differential Equations

The aim is to teach the basics of SDEs in such a way that applications of the methodology can be reached within a 30 lecture course. This means that, whilst some of the material will be proved in full detail, other parts of the material will be introduced through intuitive derivations. This will enable the course to go further than traditional courses on the subject.

Topics covered: existence/uniqueness, ergodicity, multiscale methods, applications.