The third quarter in a yearly sequence of probability theory serves as an introduction to the theory of continuous time stochastic proceses. Covering continuity and modification, Gaussian and Markov processes, continuous time martingales, Brownian motion and its properties, invariance principles with applications to CLT and LIL.
Prerequisites: Students should have mastered a graduate probability course covering conditional expectation, discrete time martingales and Markov chains. Specifically, you may take this class for credit if you had at least grade B in Stat310B/Math230B. Otherwise, you'll need instructor's permission for doing so.
Posted lecture notes: Chapters 7-9 of STAT310 notes; See also list of updates
Meeting: Sequoia 200, Tu/Th, 9:00-10:20 a.m.
Instructor: Amir Dembo, Office hours: Thu 4:30-5:30 p.m. at Sequoia 129 or e-mail
TA1 (grading HW1, HW2, HW5, HW7, HW9): Theo Misiakiewicz, Office hours: Mon 5:00-7:00 p.m. at Sequoia 220, Wed 4:30-5:30 p.m, at 420-245, or e-mail .
TA2 (grading HW3, HW4, HW6, HW8, HW9): Andy Tsao, Office hours: Tue 10:30-11:30 at Sequoia 220, Fri 10:30-12:30, at Sequoia 105, or e-mail .
Grading : Judgement based on final exam mark (73%) and on consistent Homework efforts (27%). Typically, total score above 63% needed for passing.
Final exam: Monday, June 10, 8:00-12:00 p.m., Sequoia 200; Bring only lecture notes and HW solutions; Material: Chapters 7-9 of lecture notes. To prepare, see practice final , with solution, and list of key-items.
Homework: Four HW problems out of the five assigned are due Tue at 10:30 a.m. on a weekly basis. See HW1--HW9 and their solution. Please deliver your assignment to the lecture or to instructor's mailbox in Sequoia, by the due time. Late homework will not be accepted. Solutions posted on the course Canvas page (within 36h). Graded homework returned in class (within a week).
Syllabus (per lecture notes):
4/1 Tu(7.1) Th(7.2) 4/8 Tu(7.2/7.3) Th(8.1) 4/15 Tu(8.2.1/8.2.2) Th(8.2.2/8.2.3) 4/22 Th(8.2.3/8.3.1) Th(8.3.1/8.3.2) 4/29 Tu(8.3.2/9.1) Th(9.1) 5/6 Tu(9.2) Th(9.2/9.2.1) 5/13 Th(9.2.1/9.2.2) Th(9.2.2/9.3) 5/20 Tu(9.3/8.2.4) Th(8.2.4) 5/27 Tu(8.2.4/8.3.3) Th(8.3.3) 6/3 Tu(Review:TA1)
Material covered, including HWs and self-reading:
See also seminar for current activity in related areas.