SPRING 2012 STAT 621
Advanced Probability and Stochastic Processes
Instructor: Dr Muruhan Rathinam
Lectures - time and location:
TuTh 4:00-5:15; MP008.
Math/Psychology Rm 433.
Stochastic Differential Equations, Bernt Oksendal.
Probability with Martingales, David Williams.
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
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.