Probability Theory and Stochastic Analysis (450-2-51)

Instructors

Elton P Hsu
8474918541
Lunt 205

Meeting Info

Lunt Hall 104: Mon, Wed, Fri 2:00PM - 2:50PM

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)

No required textbooks. See suggested materials.

Class Materials (Suggested)

978-1108473682
Probability: Theory and Examples (5th Edition)
Durrett
Cambridge UP