Spring 2024 Statistics GR6302 section 001

PROBABILITY THEORY II

Call Number 13666
Day & Time
Location
TR 10:10am-11:25am
903 School of Social Work
Points 4
Grading Mode Standard
Approvals Required Instructor
Instructor Marcel F Nutz
Type LECTURE
Method of Instruction In-Person
Course Description Prerequisites: STAT GR6301. Conditional distributions and expectations. Martingales; inequalities, convergence and closure properties, optimal stopping theorems, Burkholder-Gundy inequalities, Doob-Meyer decomposition, stochastic integration, Itos rule. Brownian motion: construction, invariance principles and random walks, study of sample paths, martingale representation results Girsanov Theorem. The heat equation, Feynman-Kac formula. Dirichlet problem, connections with potential theory. Introduction to Markov processes: semigroups and infinitesimal generators, diffusions, stochastic differential equations.
Web Site Vergil
Department Statistics
Enrollment 9 students (25 max) as of 6:06PM Monday, December 2, 2024
Subject Statistics
Number GR6302
Section 001
Division Graduate School of Arts and Sciences
Open To GSAS
Note STAT PhD students only
Section key 20241STAT6302G001