From: 	  david.pollard@yale.edu
	Subject: 	how stochastic calculus will work
	Date: 	September 3, 2004 4:26:01 PM EDT
	To: 	  xw63@som.yale.edu, marco.pistagnesi@yale.edu, xiaoye.li@yale.edu, qi.yan@yale.edu, stephan.winkler@yale.edu, john.ferguson@yale.edu, y.lee@yale.edu, evangelos.perros@yale.edu, cong.huang@yale.edu, and 2 more...
	Cc: 	  joseph.chang@yale.edu, Kathryn.Young@yale.edu

Folks,

After excluding the busy times for those of you who emailed me their schedules,
I find that we have ruled out Monday through Thursday for class.  There appears to be a gap
at Mon/wed 10:30--12:00, but I seem to remember someone having a clash at those times.
(I guess I don't have all your schedules yet.)

In any case, it seems that Friday is the only safe day for a formal class.
I propose the following scheme.

1.  We meet as a whole class each Friday, from 1;30 to 3:30.  During part of those
two hours, I will outline the material for the following week and discuss any other matters
that are causing difficulties.

2. Anyone doing the course for credit (or any auditors who are prepared to
do some work) should arrange a time to meet with me during the week, to discuss
the material worked on since Friday.  It would help if we could break the class into a few small groups,
for these meetings---I hope I won't have 12 separate meetings.

3. To get credit for the course, you will need to work on exercises that I will set, or work on material
related to particular topics that you and I agree on.

4. We might be able to find more civilized class times after a few weeks. However,
we might find that the new arrangement works better than the standard format.

5. Our next meeting will be on Friday 10 Sept at 1:30, in the Stat Dept classroom.

6. You should all meet with me before then.  I have the following times set aside:

Monday 1:00 -- 3:00
Tuesday 2:30-- 4:30
Wednesday 10:30 --12:00


Please send me an email to select a one hour time slot.  You should cc the other
members of this list to show them which times are taken.

7.  Before we meet, it would help if you could look at UGMTP Sections 6.1. 6.2, 6.3. and 6.6 (from
the discreteMG.pdf that I placed online).  Don't worry about the Examples and Exercises.
Try to refresh your memory (or perhaps look at for the first time) on:

a)  The definition of a martingale.
b) The definition of a stopping time
c) The Stopping Time Lemma
d) Dubins's inequality and the statement of Theorem 22 (convergence of positive supermartingales)
e) The definition of uniform integrability and  the statement of Theorem 34 (unif. integ + cgce in prob iff L1 convergence)


This is quite a lot of material if you have never done this stuff before.  If it is new to you,
don't worry too much---I can explain during our meeting.


See you some time on Mon/Tues/Wed and on Friday at 1:30.

DP

ps.  Please pass this message on to anyone else who might be interested in the course.