Fields Academy Shared Graduate Course: Stochastic Differential Equations
Description
Registration Deadline: January 18th, 2026
Instructor: Professor Jeremy Quastel, University of Toronto
Course Date: January 6th - April 2nd, 2026
Mid-Semester Break: February 16th - 20th, 2026
Lecture Time: Tuesdays & Thursdays | 11:30 AM - 1:00 PM (ET)
Office Hours: TBA
Registration Fee:
- Students from our Principal Sponsoring & Affiliate Universities: Free
- Other Students: CAD500ドル
Capacity Limit: N/A
Format: Hybrid
- In Person: University of Toronto (Room TBA)
- Online: via Zoom
Course Description
This course covers topics in Brownian motion, martingales & stopping times, white noise, stochastic integral, stochastic ode's, Markov processes, Feynman-Kac formula, connection with PDE, discrete approximations, boundary conditions & local times, Cameron-Martin-Girsanov formula, Wiener chaos, stochastic partial differential equations.
Prerequisite: Graduate courses in real analysis and probability. Undergraduate courses in ODE, PDE.
Homework: Around eight problem sets
Exam: Take home final exam
Registered Participants
| Name | Affiliation |
|---|---|
| Jonathan Cater | University of Toronto |
| Shamimeh Heydari | University of Ottawa |
| Valentio Iverson | University of Waterloo |
| Lucas Jacobs | University of Toronto |
| Vinay Joshy | University of Guelph |
| Homayun Karimi | McMaster University |
| Lexy Lawryshyn | University of Guelph |
| Ishan Malhotra | University of Toronto |
| Shikhar Mukherji | University of Toronto |
| Sachin Kumar Muthukumar | University of Waterloo |
| Rayyan Rana | University of Toronto |
| Aditya Rao | Western University |
| Alex Toma | University of Toronto |
| Jenny Wang | McMaster University |
| Weixiao Wang | Western University |
| Zirui Wang | University of Waterloo |
| Xintong Yao | University of Ottawa |
| Michelle Zhou | University of Waterloo |