A course on Brownian motion and stochastic calculus. Topics include Gaussian processes and Brownian motion; continuous martingales and semimartingales; stochastic integration, Ito's formula, and Girsanov's theorem; connections between Brownian motion and partial differential equations; forward and backward Kolmogorov equations; stochastic differential equations; and local time.
Cross-listed with MATH610. Credit only granted for MATH610 or STAT610.