MATH-40051 and MATH-50051

TOPICS IN PROBABILITY THEORY AND STOCHASTIC PROCESSES

Fall 2009. Professor Oana Mocioalca

Syllabus

Lecture 1

Lecture 2

Lecture 3

Lecture 4

Chapter 1

Lecture 5

Lecture 6

Lecture 7

Lecture 8

In order to prove the problem in the homework due Tuesday you need to take \mu=0.

Lecture 9 (with no typos)

Lecture 10

Lecture 11

Lecture 12

Lecture 14

Solutions to homework 2

Solutions to homework 3

Solutions to homework 4

Homework due Thursday, October 7th: 11, 12, 14 page 145 from Lefebvre

Lecture 14(b)

Solutions of Midterm 1

Lecture 15

Lecture 16

Section on martingales, from the book

Lecture 17

Lecture 18

Section on Doob Decomposition

Lecture 19

Lecture 20

Proof of property 1) for showing that Bm is a difussion

Solution homework 5

Detailed solutions for homework 5

Solution homework 6

Review sessions:

Tues. Nov 17th - MSB 109 from 4pm - 5pm

Wed. Nov. 18th - MSB 120 from 5:15pm - 6:15pm

Midterm exam: Thurs. Nov. 19th - MSB 102 from 9:45am - 10:55am Lecture 21

Poisson process sample path