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: CAD$500

Capacity Limit: TBA

Format: Hybrid

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