| source Northwestern (X) |
level |
department ES_APPM Engineering Science and Applied Math (X) |
Ordinary differential equations; Sturm-Liouville theory, properties of special functions, solution methods including Laplace transforms. Fourier series: eigenvalue problems and expansions in orthogonal functions. Partial differential equations: classification, separation of variables, solution by series and transform methods
Score: 13.936002 Details | Listing | Web page
Methods for solving linear, ordinary, and partial differential equations of mathematical physics. Green's functions, distribution theory, integral equations, transforms, potential theory, diffusion equation, wave equation, maximum principles, and variational methods.
Score: 13.936002 Details | Listing | Web page
Brownian motion and Langevin's equation. Ito and Stratonovich stochastic integrals. Stochastic calculus and Ito's formula. SDEs and PDEs of Kolmogorov, Fokker-Planck and Dynkin. Boundary conditions, exit times, exit distributions, stability. Asymptotic analysis of SDE, the Smoluchowski-Kramers approximation, and diffusion approximation to Markov chains. Applications.
Score: 13.936002 Details | Listing | Web page
Independent investigation of selected problems pertaining to thesis or dissertation. May be repeated for credit.
Score: 13.936002 Details | Listing | Web page