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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 2020

Lecture Sections

Fall Term 2020 - LEC A1 (80286)

MWF 09:00:00 - 09:50:00 (CAB 357)

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