Math 565C - Stochastic Differential Equations - Topics

I hope to cover the following topics. (This is probably too ambitious). There is also a guess as to how many lectures we will spend on each topic. The numbering below refers to Oksendal.

1. Introduction (1 lecture)

2. Probability and Brownian motion (2 lectures)

3. Ito integrals (4 lectures)

4. Ito formula, martingale representaion (3 lectures)

5. Stochastic differential equations (3 lectures)

6. Filtering (1d only) (3 lectures)

7. Diffusions (4 lectures)

9. (9.1 only) Boundary value problems (1 lectures)

10. Optimal stopping (6 lectures)

11. Stochastic control (3 lectures)

We covered most of the above topics except for chap 6 (Filtering) which we did not cover at all.