Instructor: Professor Steve Lalley
Office: 118 Eckhart Hall
Office Hour: Thursday 1:00 - 2:00
This course is the third in a three-quarter sequence in measure-theoretic probability. It is meant for students with a solid grounding in real analysis, including measure and integration, at the level of Stat 381 or Math 312, and some knowledge of conditional expectation and discrete-time martingale theory. The first part of the course will deal with Brownian motion and several related processes. The bulk of the course will be devoted to the basics of the Ito calculus and its use in the study of stochastic differential equations.
There will be no exams, but about 5 assignments.