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MATH505 - Stochastic Analysis I

Discrete-time stochastic analysis: Stochastic basis, filtration, stochastic sequences. Absolute continuity of probability measures and conditional expectations. Martingale-like and predictable stochastic sequences. Doob's decomposition. Stopping times and related properties. Uniformly integrable stochastic sequences. Transition from discrete-time to continuous-time stochastic analysis. Introduction to stochastic integration with respect to Brownian motion. Prerequisites: STAT 471 or consent of the Department.

Fall Term 2018

Lecture Sections

Fall Term 2018 - LEC A1 (70502)

MWF 09:00:00 - 09:50:00 (CAB 357)
Instructor: melnikov@ualberta.ca - Profile
Fall Term 2017

Lecture Sections

Fall Term 2017 - LEC B1 (75636)

MWF 09:00:00 - 09:50:00 (CAB 357)
Instructor: melnikov@ualberta.ca - Profile
Fall Term 2016

Lecture Sections

Fall Term 2016 - LEC B1 (66610)

MWF 10:00:00 - 10:50:00 (CAB 373)
Instructor: melnikov@ualberta.ca - Profile
Fall Term 2015

Lecture Sections

Fall Term 2015 - LEC A1 (59036)

MWF 09:00:00 - 09:50:00 (CAB 457)
Instructor: tchoulli@ualberta.ca - Profile
Fall Term 2014

Lecture Sections

Fall Term 2014 - LEC A1 (70565)

MWF 09:00:00 - 09:50:00 (CAB 457)
Instructor: melnikov@ualberta.ca - Profile
Fall Term 2013

Lecture Sections

Fall Term 2013 - LEC A1 (53127)

MWF 09:00:00 - 09:50:00 (CAB 457)
Instructor: melnikov@ualberta.ca - Profile
Fall Term 2012

Lecture Sections

Fall Term 2012 - LEC A1 (57641)

MWF 09:00:00 - 09:50:00 (CAB 457)
Instructor: melnikov@ualberta.ca - Profile
Fall Term 2011

Lecture Sections

Fall Term 2011 - LEC A1 (49230)

MWF 09:00:00 - 09:50:00 (CAB 457)
Instructor: TBD