| Call Number | 15375 |
|---|---|
| Day & Time Location |
TR 2:40pm-3:55pm To be announced |
| Points | 3 |
| Grading Mode | Standard |
| Approvals Required | None |
| Instructor | Ioannis Karatzas |
| Type | LECTURE |
| Method of Instruction | In-Person |
| Course Description | This course will cover advance topics in probability, including: the theory of martingales in discrete and in continuous time; Brownian motion and its properties, stochastic integration, ordinary and partial stochastic differential equations; Applications to optimal filtering, stopping, control, and finance; Continuous-time Markov chains, systems of interacting particles, relative entropy dissipation, notions of information theory; Electrical networks, random walks on graphs and groups, percolation. |
| Web Site | Vergil |
| Department | Mathematics |
| Enrollment | 32 students (49 max) as of 11:06AM Tuesday, December 3, 2024 |
| Subject | Mathematics |
| Number | GU4156 |
| Section | 001 |
| Division | Interfaculty |
| Section key | 20251MATH4156W001 |