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Spring 2020 Statistics GR6302 section 001
PROBABILITY THEORY II

Call Number 46704
Day & Time
Location
TR 10:10am-11:25am
903 School of Social Work
Points 4
Grading Mode Standard
Approvals Required None
Instructor Marcel F Nutz
Type LECTURE
Method of Instruction Classroom
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, Ito's 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 12 students (25 max) as of 4:34PM Friday, February 21, 2020
Subject Statistics
Number GR6302
Section 001
Division Graduate School of Arts and Sciences
Open To GSAS
Campus Morningside
Note PhD students in Statistics only
Section key 20201STAT6302G001

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SIS update 02/21/20 16:34    web update 02/21/20 21:20