| Call Number | 14068 |
|---|---|
| Day & Time Location |
TR 10:10am-11:25am To be announced |
| Points | 4 |
| Grading Mode | Standard |
| Approvals Required | None |
| 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 | 10 students (25 max) as of 4:05PM Saturday, December 21, 2024 |
| Subject | Statistics |
| Number | GR6302 |
| Section | 001 |
| Division | Graduate School of Arts and Sciences |
| Open To | GSAS |
| Note | STAT PhD students only |
| Section key | 20251STAT6302G001 |