Theory of Probability III

Catalog description

Continuous time stochastic processes: martingales, Brownian motion, stationary independent increments, Markov jump processes and Gaussian processes. Invariance principle, random walks, LIL and functional CLT. Markov and strong Markov property. Ito's formula and Ito's integral. Prerequisite: STATS 310B or MATH 230B. NOTE for both MATH and STATS: Undergraduates and Masters students who wish to enroll must fill out a Request for Review form: https://forms.gle/v5RojToYzmYxGvKc7 ; Your request will be reviewed by faculty and you'll be notified if you are granted permission to enroll.