Probability Theory and Stochastic Analysis (450-3-81)

Instructors

Antonio C Auffinger

Meeting Info

Lunt Hall 101: 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)

Title: Stochastic Calculus
Author: Baldi
Publisher: Springer
ISBN: 978-3319622255

INSTRUCTOR NOTE: This book is available as a free PDF download from the NU Library

Class Materials (Suggested)

No suggested materials. See required materials