Special topics on Applied Stochastic Dynamics offered in Spring 2016 by Molei Tao.
Optional textbook: Stochastic Processes and Applications, by G.A. Pavlioti
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.