Applied Stochastic Dynamics

Department: 
MATH
Course Number: 
8803 TAO
Hours - Lecture: 
3
Hours - Lab: 
0
Hours - Recitation: 
0
Hours - Total Credit: 
3
Typical Scheduling: 
no regular schedule

Special topics on Applied Stochastic Dynamics offered in Spring 2016 by Molei Tao.

Prerequisites: 

MATH 2552, MATH 4347, MATH 3215

Course Text: 

Optional textbook: Stochastic Processes and Applications, by G.A. Pavlioti

Topic Outline: 

This is a special topic course primarily for Ph.D. students interested in applying stochastic analysis to natural sciences (e.g., statistical physics or theoretical chemistry). Topics to be covered include selected stochastic processes, stochastic differential equations, and multiscale methods. Both the analytical and numerical aspects will be discussed, and a balance between physical intuition and mathematical rigor will be made.

Prerequisites: Basic knowledge of ODEs and PDEs, elementary probability theory, some familiarity with stochastic processes.