- Instructor: Xiaohui Xie
- Meeting information:
- Regular lecture: TT 3:00-4:20
- Meeting place: ICS 213

- multivariate calculus, linear algebra, elementary differential equations (at the level of Math 3D at UCI), and (helpful to know) some elementary probability

Tentative topics:

- Markov Chains and Linear Difference Equations
- Continuous Time Markov Processes
- Poisson Counters and Differential Equations
- Wiener Processes and Differential Equations
- Ito's calculus and Ito Formula
- Diffusion, Fokker-Planck Equations
- Probability space, Foundation of stochastic processes
- Conditional Expectation, Martingales
- Markov Properties, Feymann-Kac Theorem, Kolmogorov backward equation
- Application to stochastic control
- Application to filtering problems
- Application to population genetics

- [http://www.ics.uci.edu/~xhx/courses/math227c/CourseScribeNotes.pdf Combined scribe notes]

- Stochastic Differential Equations: An Introduction with Applications by Bernt Øksendal

- [https://eee.uci.edu/14s/35340/home/ps1.pdf Assignment #1] Due date: 04/17 (Thur) before class.
- [https://eee.uci.edu/14s/35340/home/ps2.pdf Assignment #2] Due date: 05/01 (Thur) before class.
- [http://www.ics.uci.edu/~xhx/courses/math227c/ps3.pdf Assignment #3] Due date: 05/15 (Thur) before class.
- [https://eee.uci.edu/14s/35340/home/ps4.pdf Assignment #4] Due date: 05/29 (Thur) before class.

- [https://eee.uci.edu/14s/35340/home/final14.pdf Final Exam] Due date: 06/10 (Tues) before 5pm.