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MATH 227

Partial Differential Equations and Diffusion Processes

  • Not Offered

3 units

Letter or Credit/No Credit

Parabolic and elliptic partial differential equations and their relation to diffusion processes. First order equations and optimal control. Emphasis is on applications to mathematical finance. Prerequisites: MATH 136/STATS 219 (or equivalents) and MATH 131P + MATH 115/171 or MATH 173 or MATH 220.

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