SPRING 2008 STAT 621/0101
Advanced Probability and Stochastic Processes


Instructor: Dr Muruhan Rathinam

Lectures - time and location: MW 1:00-2:15, TBA

Office hours: TBA
Office location: Math/Psychology Rm 433.
Contact info: 410-455-2423 muruhan@math.umbc.edu.


TEXT BOOKS: Stochastic Differential Equations, 6th Edition, Bernt Oksendal.
                           Probability with Martingales, David Williams.

TOPICS: Review of measure theory, measure theoretic introduction to probability theory, forms of convergence, stochastic processes, Markov processes, Martingales, Ito-stochastic integrals, stochastic differential equations.

Click here for course information and syllabus

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CURRENT INFORMATION

Lecture notes on Markov processes.

Homework 5:     Due in class on Apr 16th Wed.

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PAST INFORMATION

Homework 4:     Due in class on Apr 2nd Wed.

Homework 3 has been modified (on March 4th) download it again!:     Due in class on March 10th Wed.

Homework 2:     Due in class on Feb 27th Wed.

Homework 1:     Due in class on Feb 11th Mon.