MAST 679N/881Z Stochastic Differential Equations: Lecture Schedule

Lecture rules: You will be resposible for the material in the online notes that was covered in lectures, as well as for the material that is suggested you read from the online notes and the book on your own.

The chapter.section numbers refer to the lecture notes of L .C. Evans (LCE), of T. Kurtz (TK), and of T. Seppalainen(TS)



  • Week 1 - Ch 1,2 (TK), and Ch 1 (TS)
    (Introduction to SDEs and Crash Course in Probability)

  • Week 2 - Ch 3, 4 (TK), and Ch 2.1, 2.2, 2.3, 3.1., 3.2 (TS)
    (Stochastic Processes and Martingales)

  • Week 3 - Ch 3.A, 3.C (LCE), Ch 3.1, 3.4 (TK), Ch 2.4 (TS), and notes
    (Levy's construction of BM and properties of BM)

  • Week 4 - Ch 4A-C (LCE), Ch 5.1 (TK), and Ch 4 (TS)
    (Ito's Stochastic Integral)

  • Week 5 - Ch 6.1, 6.2 (TK), Ch 3.4, 3.5 (TS)
    (Quadratic Variation and Co-Variation)

  • Week 6 - Ch 5.2, 5.3 (TK), Ch 5.1, 5.2, 5.3, 5.4 (TS)
    (Stochastic Integral wrt martingales and semi-martingales)

  • Week 7 - Ch 4D-E, Ch 5A (LCE), Ch 6.3, 6.4, 6.5, 7.1 (TK), and Ch 6.1, 6.2 (TS)
    (Ito's Formula and consequences)

  • Week 8 - Ch 5B (LCE), Ch 7.2, 7.3, 7.4, 7.5 (TK), and Ch 7.1, 7.2 (TS)
    (Solutions to SDEs: Existence & Uniqueness)

  • Week 9 - Ch 5C (LCE), Ch 7.6 (TK)
    (Strong vs Weak Solutions & Uniqueness, Moments of SDE Solutions)

  • Week 10 - Ch 8.1, 8.9, (TK), and *
    (Generators for Markov Processes, Solutions to MP, SDEs for Diffusions)

  • Week 11 - Ch 8.7, 8.8, 12.1, 12.2 (TK), and *
    (Markov property of SDEs, Random time change, Change of measure)

  • Week 12 - Ch 12.3, 12.4, 12.5, 12.6 (TK), and *
    (Cameron-Martin-Girsanov thm, more existence thms for SDEs)

  • Week 13 - Ch 8.9, 8.10 (TK), and *
    (backward equation, stationary distribution, Feynman-Kac)

  • Sep 6


  • Sep 13


  • Sep 20


  • Sep 27


  • Oct 4


  • Oct 11


  • Oct 18


  • Oct 25


  • Nov 1


  • Nov 8


  • Nov 15


  • Nov 22


  • Nov 29