Statistics 603 (Spring 2010)

Advanced Stochastic Processes

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:

Topics for 2010 (tentative)

The order in which I discuss these topics will depend on the level of the audience.
DBP 7 Jan 2010