Statistics 385: Brownian Motion and Stochastic Calculus
Fall 2016

Instructor: Professor Steve Lalley
Office: 118 Eckhart Hall
Office Hour: Thursday 1:00 - 2:00
Phone: 702-9890

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.

Recommended Reading:

Background Reading:

Lecture Notes:


Statistics 385 Fall 2014 Web Page
Last modified: Mon Oct 23 22:04:20 CDT 2017