Yaozhong Hu

MATH 510 - Stochastic Analysis II

Continuous semimartingales and quadratic variation. Stochastic integrals for continuous semimartingales. Ito's formula. Change of probability measure (Girsanov transformation). Martingale representation theorem for Brownian filtrations. Stochastic differential equations, diffusions. Introduction to discontinuous semimartingales with emphasis on Poisson processes. Prerequisites: MATH 505 or consent of the Department.

STAT 265 - Probability and Statistics I

Sample space, events, combinatorial probability, conditional probability, independent events, Bayes Theorem, random variables, discrete random variables, expected values, moment generating function, inequalities, continuous distributions, multivariate distributions, independence. Corequisite: One of MATH 209, 214 or 217. Note: Credit can be obtained in at most two of STAT 181, STAT 281, or STAT 265.

STAT 580 - Stochastic Processes

Elements of stochastic processes. Discrete and continuous time Markov Chains; Birth and Death processes. Branching processes. Brownian Motion. General Stationary and Markov processes. Examples. Prerequisite: STAT 471 or consent of Instructor.

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