Mathematics 269Z

Stochastic Analysis and its Applications (218254)

Horng-Tzer Yau

2026 Fall (4 Credits)

Schedule: MW 1030 AM - 1145 AM

Instructor Permissions: None

Enrollment Cap: n/a

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.

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