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- Author:
-
Gamarnik, David
- Subject:
- Business
- Institution Name:
- M.I.T.
- Collection:
-
MIT OpenCourseWare
- Grade Level:
- Post-secondary
- 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.
- Languages:
- English
- Material Type:
- Assessments, Full Course, Homework and Assignments, Lecture Notes, Syllabi
- Media Format:
- Text/HTML, Downloadable docs
- Conditions of Use:
-
Creative Commons Attribution-Noncommercial-Share Alike 3.0
No restrictions on your remixing, redistributing, or making derivative works.
Give credit to the author, as required.
Your remixing, redistributing, or making derivatives works comes with some
restrictions, including how it is shared.
Your redistributing comes with some restrictions. Do not remix or make
derivative works.
Copyrighted materials, available under Fair Use and the TEACH Act for US-based
educators, or other custom arrangements. Go to the resource provider to see
their individual restrictions.
Advanced Stochastic Processes, Fall 2005
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