MATH 6720: Probability Theory II: Stochastic Processes (Spring 2012)

Instructor: Benjamin Steinhurst

The topics that will be covered include conditional expectation, martingales, discrete time Markov chains, and Brownian motion. We will also cover topics in stochastic calculus as time permits. Knowledge of the basic material covered in MATH 6710 will be assumed.

We will transition from using R. Durrett, Probability: Theory and Examples, 4th edition to using Rich Bass' Stochastic Processes 2011 Cambridge University Press.