Statistics 603a, Fall 2004
Stochastic Calculus

Martingales in discrete and continuous time, Brownian Motion, Sample path properties, predictable processes, stochastic integrals with respect to Brownian motion and semimartingales, stochastic differential equations. Applications mostly to counting processes and finance. Knowledge of measure-theoretic probability at the level of Statistics 600 is a prerequisite for the course, although some key concepts, such as conditioning, are reviewed. After Statistics 600.

Instructor:David Pollard (email:
Office hours:to be announced
Time: Friday 1:30 -- 3:30 plus weekly meetings with DP (see email.3sept04.txt for details)
Place:24 Hillhouse
TA:Stephan Winkler

My aim is to explain enough theory to give students an understanding of the calculus of stochastic integration with respect to semimartingales.


As with all my graduate courses, there will be no exams. The final grade will be based completely on the homework assignments and work discussed with DP during weekly meetings. I am also open to creative suggestions for other ways to assign a grade. See email.3sept04.txt for details.


Topics for 2004 (tentative)

I am still making changes to topics covered in 2001.
14 September 2004