Spring 2025 Mathematics GU4156 section 001

ADVANCED PROBABILITY THEORY

ADVANCED PROBABILITY THEO

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 33 students (49 max) as of 9:05PM Thursday, December 5, 2024
Subject Mathematics
Number GU4156
Section 001
Division Interfaculty
Section key 20251MATH4156W001