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Stochastic analysis and its applications
MATH 269Z

Course Information

Description

This course begins with a review of the fundamental properties of Brownian motion and martingales. The core curriculum covers Ito calculus and its connection to partial differential equations. Finally, we will apply these tools to derive the Wigner semicircle law and Dyson’s Brownian motion in random matrices.

School Faculty of Arts & Sciences
Credits 4
Cross Reg

Available for Harvard Cross Registration

Department Mathematics
Course Component Lecture
Grading Basis FAS Letter Graded
Exam/Final Deadline Dec. 17, 2026
General Education N/A
Quantitative Reasoning with Data N/A
Divisional Distribution Science & Engineering & Applied Science
Course Level Primarily for Graduate Students