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 |