1. B. Oksendal, Stochastic Differential Equations: An Introduction with Applications, Springer, 2010. (Earlier editions should work too.) Math 669 will cover approximately Chapters 2-5, 7, and 12.
2. R. Durrett, Probability: Theory and Examples 4th Edition, Cambridge University Press, 2013.

1. Friday April 3: Oksendal #2.7a and compute |G|, 2.9, 2.10
2. Friday April 10: Ok #3.1, 3.13ab, 3.18
3. Friday April 17: Ok #4.1a, 4.2, Durrett 8.5.2 (insurance application, solution)
4. Friday April 24: Ok #4.6a, 4.7 (n=1), 4.8a
5. Friday May 8: Ok #5.1(ii), 5.9, 5.11 (a=0, b=0) (solutions)
6. Friday May 15: 7.1abc, 7.2a, 7.10
7. Friday May 22: 7.9ab, 8.2, 8.5
8. Friday May 29: 8.6, and let an operator A satisfy Af = -x*f_x + f_xx/2. Find the limit as t->infty of the solution u(t,x) to u_t = Au, u(0,x) = x^2, x in R.
9. Friday Jun 5: 12.6abc, 12.11a (optional hw, arbitrage background, more )

              
     March 2015     
Su Mo Tu We Th Fr Sa
 1  2  3  4  5  6  7 
 8  9 10 11 12 13 14 
15 16 17 18 19 20 21 
22 23 24 25 26 27 28 
29 30 31            	2.1
                     
     April 2015     
Su Mo Tu We Th Fr Sa
          1  2  3  4 	2.2, Brownian motion simulation 
 5  6  7  8  9 10 11 	3.1-3.2
12 13 14 15 16 17 18 	3.1-3.2, stochastic integral simulation
19 20 21 22 23 24 25 	4.1 
26 27 28 29 30       	5.1-5.3
                     
      May 2015      
Su Mo Tu We Th Fr Sa
                1  2 
 3  4  5  6  7  8  9 	5.1-5.3, simulation of O-U and geometric mean reversion 
10 11 12 13 14 15 16 	7.1-7.5
17 18 19 20 21 22 23	7.1-7.5
24 25 26 27 28 29 30 	8.1-8.2, old-school methods 
31                   

      June 2015     
Su Mo Tu We Th Fr Sa
    1  2  3  4  5  6	12.1
 7  8  9 10 11 12 13 	
14 15 16 17 18 19 20 
21 22 23 24 25 26 27 
28 29 30