- Spring 2024
Meeting Time:
MWF 11:30am - 12:20pm
Location:
PDL C401
SLN:
16990
Joint Sections:
STAT 523 A
Instructor:
Syllabus Description:
Math 523 will be devoted to stochastic analysis.
The textbook will be "Stochastic Processes" by Richard F. Bass. The digital version of the textbook is available to UW students for free.
Grading will be based on a combination of homework and a presentation of a topic.
My office hours will be in person on Friday: 10:30-11:20 and 1:30-2:20. I will be also available by appointment, in person, or on Zoom.
Contents
Tentative selection of topics:
1. Ito formula: requires stochastic integrals, martingales, quadratic variation, much of Secs 1-11
2. Math finance applications: Girsanov theorem, martingale representation theorem Secs 12-13
3. Levy processes Sec 42
4. Gausssian processes Sec 33
5. SDEs Sec 24
6. PDEs Sec 40
7. Filtering Sec 29
Catalog Description:
Measure theory and integration, independence, laws of large numbers. Fourier analysis of distributions, central limit problem and infinitely divisible laws, conditional expectations, martingales. Prerequisite: either MATH 426 or MATH 576. Offered: jointly with STAT 523; Sp.
Credits:
3.0
Status:
Active
Last updated:
January 18, 2024 - 1:56am