Instructor: | David Pollard |
When: | Mon, Wed 2:30-3:45 |
Where: | 24 Hillhouse, main classroom |
Office hours: |
Aditya session (Monday at 7:00); separate meetings of small groups with DP (Tues 4:30-5:30; Wed 10:30-11:30; Wed 5:00-6:00) |
TA: | Aditya Guntuboyina |
Other: | courses taught by DP in previous years |
Short description: | Martingales in continuous time, with applications to the stochastic calculus of semimartingales. If time permits, random trees and other exotic random processes will also be discussed. |
Intended audience: | The course is aimed at students (both graduate and undergraduate) who have studied probability at the level of Stat 330/600. There will be many sigma-fields. |
Text: | There is no single text. I have borrowed material from many sources, some of which are included in the annotated bibliography. I will also be preparing handouts throughout the course. |
Grading: | As with all my graduate courses, there will be no exams. The final grade will
be based completely on the homework
projects.
I would like to run the course the same way I did in Fall 2004, with students working in groups to flesh out arguments (projects) given in handouts. However, this year I intend to cover slightly different material. The group idea is not as crazy as it might sound: one opinion from 2004. More details will be provided in the first class. |
Other resources: |
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