MTH 287/STA 207, Fall 1998
Probability --- Brownian Motion and Stochastic Calculus  
TT 9:10-10:25, 218 Physics
Greg Lawler, 128B Physics

Office Hours: Tuesdays 1:30 - 3:00 and by appointment

This course will be an introduction to Brownian motion and stochastic calculus. The course will start with a quick discussion of the tools of measure theoretic probability needed to study Brownian motion and stochastic calculus and then will proceed to cover material from the book of Durrett. Real analysis (measure theory) is a prerequisite for the course. It is hoped that students will also have had some exposure to the measure theoretic development of probability. Math 241 (Real Analysis), as taught in Fall 1997, is a sufficient prerequisite. Those interested in taking the course but worried about the prerequisites should talk to me.

Text

Durrett, Stochastic Calculus, A Practical Introduction

We will use other sources for the earlier parts of the course. The text of Durrett will be used in the latter two thirds (approximately) of the course.

Assignments

There will be homework assignments most weeks due on Tuesdays including a longer than average assignement at the end of the course. There will be no in-class tests or examinations. Many of the exercises will be given in class. Here are the problems sets (in PDF format):
Problem set 1 (due Sept. 8)
Problem set 2 (due Sept. 15)
Problem set 3 (due Sept. 22)
Problem set 4 (due Sept. 29)

Return to: Greg Lawler's home page

Last modified: 24 September 1998