Schedule
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.
Textbook
Varadhan, Stochastic Processes.
Grading
TBD.
References
- Varadhan, Stochastic Processes.