MATh 6550

Welcome to MATH 6550/APPM 6550

Intro to Stochastic Processes


FALL 2019

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

COURSE CONTENT:

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.


PREREQ:

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:



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

Grading will be based on a combination of HW and presentations.


HW SETS:

(Friday to Friday in class or by email)

SET 1

SET2

SET3

SET4

SET5

SET6

SET7

Andrey

Paul

Albert

Joseph

IMPORTANT CU/COURSE POLICIES: CLICK


SLIDES OF LECTURES ARE BELOW:

Math 6550 Stochastic Proc..pdf
Math 6550 Stochastic Proc. 2.pdf
Math 6550 Stochastic Proc. 3.pdf
Math 6550 Stoch Proc. Part 4.pdf