Course Descriptions

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

Konstantin Matveev

Subtitle:

2D phenomena in Probability

Course Description:

This topics course will focus on two-dimensional phenomena in Probability coming mostly from statistical physics, including tilings, vertex models, percolation, Schramm–Loewner evolution, etc.

Prerequisites:

16:642:591 or permission of the instructor

Text:

Several sources

 

Sections Taught This Semester:

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.

 

Schedule of Sections:

Previous Semesters: