ENGG(SERC)2-914: Stochastic Mechanics (L-T-P-C) : 3-0-0-3

Faculty: Dr. K. Balaji Rao & Dr. M. B. Anoop

Introduction. Basic probability theory. Brownian motion and white noise. Stochastic Integrals, Ito’s formula. Stochastic differential equations (SDE). Diffusion Processes. Stochastic stability. Introduction to numerical solution of SDE. Applications.