SPRING 2012 STAT 621
Advanced Probability and Stochastic Processes


Instructor: Dr Muruhan Rathinam

Lectures - time and location: TuTh 4:00-5:15; MP008.

Office hours: TuThu 11-12.
Office location: Math/Psychology Rm 433.
Contact info: 410-455-2423 muruhan@umbc.edu.


TEXT BOOKS: Stochastic Differential Equations, 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

Homework 6:     Due in class on May 8th Tue.

Mid term Exam: Will be held on April 12th Thu in class.
No calculators are allowed or needed. Closed book and closed notes.

Homework 5:     Due in class on April 26th Thu.

Homework 4:     Due in class on April 3rd Tue.

Homework 3:     Due in class on March 13th Tue.

Homework 2:     Due in class on Feb 21st Tue.

Homework 1:     Due in class on Feb 7th Tue.