Description |
Prerequisite, Statistics 154 amd 155, or permission of the instructor. Advanced course covering topics selected from: semimartingale theory, stochastic integrals, homogeneous chaos expansions, stochastic differential equations, Malliavin calculus, infinite dimensional processes, functional central limit theorems, Feynman-Kac formula, Feynman integral. Applications to filtering theory, infinite particle systems, quantum mechanics, and stochastic models in neurophysiology. (3).
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