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

Instructors

Sandy L Zabell
8474915564
Lunt 227

Meeting Info

Lunt Hall 103: 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)

ISBN: 978-3319622255
Brownian Motion, Martingales, and Stochastic Calculus (Graduate Texts in Mathematics, 274), 2016 Edition Author: Le Gall
Publisher: Springer

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

Class Materials (Suggested)

No suggested materials. See required materials