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Spring 2021 Statistics GR6302 section 001

Call Number 13283
Day & Time
TR 10:10am-11:25am
Points 4
Grading Mode Standard
Approvals Required Instructor
Instructor Richard Davis
Method of Instruction On-Line Only
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 4:52PM Saturday, December 4, 2021
Subject Statistics
Number GR6302
Section 001
Division Graduate School of Arts and Sciences
Open To GSAS
Campus Morningside
Note PhD students only
Section key 20211STAT6302G001

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SIS update 12/04/21 16:52    web update 12/04/21 17:20