MATH 505 - Stochastic Analysis I

3 units (fi 6)(FIRST, 3-0-0)

Faculty of Science

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.

No syllabi

Fall Term 2024


Section Capacity Class times Login to view Instructor(s) and Location
2024-09-03 - 2024-12-09 (MWF)
09:00 - 09:50