Stochastic differential equations (SDEs) model the stochastic evolution of a system as time evolves. These models have a variety of applications in many disciplines (economics, mathematical finance, biology, genetic analysis, oceanography, ecology, etc.) and emerge naturally in the study of many phenomena. This course will introduce the audience to the fundamental concepts used in SDEs, with emphasis on statistical estimation in the parametric and nonparametric setting. Structurally the course will be divided in three parts: 1) a primer on stochastic processes, stochastic calculus and stochastic differential equations; 2) estimation methods for SDEs accompanied by numerical simulations and 3) applications and case studies in biology.
Meeting schedule: 10:00am - 12:00pm
Location: Jennings Hall Room 355
Dates: March (26, 28, 30), April (4, 6, 9, 11, 13, 23, 25, 27), May (14, 16, 18)
These lectures will be available by live streaming video. If you would like to view MBI talks live, please email us at firstname.lastname@example.org and ask for a link.