Probability Theory & Stochastic Analysis (450-1-91)
Instructors
Antonio C Auffinger
Meeting Info
Lunt Hall 104: Mon, Wed, Fri 3:00PM - 3:50PM
Overview of class
Probability spaces, random variables, distribution functions, conditional probability, laws of large numbers, and central limit theorem. Random walk, Markov chains, martingales, and stochastic processes. Definition and properties of standard Brownian motion. Stochastic Integration and stochastic differential calculus, with applications to diffusion processes.
Class Materials (Required)
978.110847.3682
Probability: Theory and ExamplesÂ
Author: Durrett
Publisher: Cambridge
Class Materials (Suggested)
No suggested materials. See required materials