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Course Descriptions

16:642:592 - Topics in Probability and Ergodic Theory II

Kimberly Weston

Text:

Brownian motion and stochastic calculus (Karatzas and Shreve)

Prerequisites:

16:642:591 - Topics in Probability & Ergodic Theory I

Description:

This course will cover topics in stochastic analysis at the graduate level. The topics will include continuous semimartingale theory: Brownian motion, continuous-time martingales, stochastic integration, Girsanov's theorem, stochastic differential equations, and diffusions. Time permitting, we will cover Levy processes, the Levy-Khintchine formula, and the semimartingale topology in stochastic integration.

 

Sections Taught This Semester:

Schedule of Sections:

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Department of Mathematics

Department of Mathematics
Rutgers University
Hill Center - Busch Campus
110 Frelinghuysen Road
Piscataway, NJ 08854-8019, USA

Phone: +1.848.445.2390
Fax: +1.732.445.5530