Advanced Stochastic Processes

Graduate / Professional

Martingales, Brownian motion, stochastic integration, stochastic differential equations, general theory of Markov processes, and stochastic optimal control. Prerequisites: measure theoretic probability at the level of S&DS 6000 , stochastic processes at the level of S&DS 5510 , and an appreciation for proofs. TTh 9am-10:15am