| Course: | MATH-GA 2912.001 Probability: Limit Theorems II, Spring 2020 |
| Time: | Wednesdays |
| Room: | Courant Institute / Warren Weaver Hall 512 |
| Instructor: | Professor Yuri Bakhtin, contact info |
| Office hours: | Tuesdays 3:00-5:00 P.M. |
| Course description: | Stochastic processes in continuous time. Brownian motion. Poisson process. Processes with independent increments. Stationary processes. Semi-martingales. Markov processes and the associated semi-groups. Connections with PDEs. Stochastic differential equations. Convergence of processes. |
| Text: | There will be no official textbook. Some very useful books are: Stochastic Processes by Bass, Stochastic Processes by Varadhan (Courant Lecture Series in Mathematics, volume 16), Theory of Probability and Random Processes by Koralov and Sinai, Brownian Motion and Stochastic Calculus by Karatzas and Shreve |
| Problem sets: | Will be available on this page, to be submitted for grading approximately every 3 weeks, must be submitted before the end of class on the due date. |
| Prerequisite: | Probability: Limit Theorems I |
Link to Stochastic Processes by Bass (available through NYU)
Link to Brownian Motion and Stochastic Calculus by Karatzas and Shreve (available through NYU)
Link to Theory of Probability and Random Processes by Koralov and Sinai (available through NYU)