Discrete-time stochastic analysis: Stochastic basis, filtration, stochastic sequences. Absolute continuity of probability measures and conditional expectations. Martingale-like and predictable stochastic sequences. Doob's decomposition. Stopping times and related properties. Uniformly integrable stochastic sequences. Transition from discrete-time to continuous-time stochastic analysis. Introduction to stochastic integration with respect to Brownian motion. Prerequisites: STAT 471 or consent of the Department.
| Section | Capacity | Class times | Instructor(s) |
|---|---|---|---|
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LECTURE A1
(49210) |
20 |
2024-09-03 - 2024-12-09 (MWF)
09:00 - 09:50
CAB 357
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