Stochastic Processes
(graduate course in mathematics)
Space-time coordinates of teaching
Roster
Course code
Email alias
Prerequisites
- Undergraduate probability, including basic elements of stochastic processes
- A rigorous graduate course in measure-theoretic probability
- Mathematical analysis
- Measure theory and integration
Contents
They vary slightly depending on the year and interest, but often include:
Brownian motion; Poisson and point processes; Stochastic analysis;
Markov processes; Gaussian processes; Partial differential equations
and probability; Diffusions; Lévy processes; Special topics
Sample assignments from the past
Assignment 1;
Assignment 2;
Assignment 3;
Assignment 4;
Assignment 5;
Assignment 6
Sample bibliography
- Richard Bass. Stochastic Processes. Cambridge University Press, 2011
- Daniel Revuz and Marc Yor. Continuous Martingales and Brownian Motion. Springer-Verlag, 2004
- Chris Rogers and David Williams. Diffusions, Markov Processes and Martingales, Vol. I and Vol. II. Cambridge University Press, 2000
- Olav Kallenberg. Foundations of Modern Probability. Springer-Verlag, latest edition: 2010