A Practical Introduction to SDEs

McGill University
Teacher: Paul Tupper

Topics: Markov processes, the Master equation, Brownian motion, the stochastic integral, stochastic integral equations, the Ito formula, Fokker-Planck equation, numerical methods, if time permits, Van Kampen's system size expansion. Applications in physics, chemistry, biology, finance.

Prerequisites: Elementary probability and differential equations. Some experience with a programming language.

Recommended reading:
Handbook of Stochastic Methods, C.W.Gardiner.
Stochastic Processes in Physics and Chemistery, N.G. Van Kampen.
An algorithmic introduction to numerical simulation of stochastic differential equations, D.J. Higham