Call Number | 15375 |
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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 |