Welcome to MATH 6550/APPM 6550
Intro to Stochastic Processes
Time: MWF 02:00 PM - 02:50 PM
Room: CASE 260
INSTRUCTOR: DR. JANOS ENGLANDER
Office hours: Monday and Wednesday 11:30-12:30 PM
We explore numerous stochastic processes, e.g. martingales, Markov processes, Brownian motion, diffusion processes, stochastic integrals etc. But this is just a suggestion and we may modify topics on the fly.
The `department enforced prerequisite' is: MATH 4001 or MATH 4510 or APPM 3570 or APPM 4560 or instructor consent. In the second part, you should know some graduate level probability, but we can review those topics during the course.
Some suggested books:
- Stochastic Differential Equations: An Introduction with Applications (Universitext) by Øksendal
- An Introduction to Markov Processes (Graduate Texts in Mathematics) by Stroock
- Markov Chains and Mixing Times by Levin, Peres and Wilmer
- Brownian Motion (Cambridge Series in Statistical and Probabilistic Mathematics) by Mörters and Peres
And there are many others of course, e.g.
- Karatzas and Shreve, Brownian Motion and Stochastic Calculus
- Revuz and Yor, Continuous Martingales and Brownian Motion
- A. N. Borodin, Stochastic Processes
etc. etc. etc.
Grading will be based on a combination of HW and presentations.
(Friday to Friday in class or by email)