Advanced Stochastic Processes, Fall 2005
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| Type: | Course Related Materials |
| Grade Level: | Post-secondary |
Author: Gamarnik, David
Subject: Business
Institution Name:
M.I.T.
Collection Name: MIT OpenCourseWare
Abstract: The class covers the analysis and modeling of stochastic processes. Topics include measure theoretic probability, martingales, filtration, and stopping theorems, elements of large deviations theory, Brownian motion and reflected Brownian motion, stochastic integration and Ito calculus and functional limit theorems. In addition, the class will go over some applications to finance theory, insurance, queueing and inventory models.
Details
Course Type: Full Course
Material Types: Syllabi, Homework and Assignments, Assessments, Lecture Notes
Media Formats: Text/HTML, Downloadable docs
Language: English
Additional Information
Geographic
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