Advanced Stochastic Processes

A stopped Brownian motion as an example for a martingale.

Some stopping times (even hitting times) of Brownian motion. (Image courtesy of Thomas Steiner.)

Instructor(s)

MIT Course Number

15.070

As Taught In

Fall 2005

Level

Graduate

Cite This Course

Course Features

Course Description

The class covers the analysis and modeling of stochastic processes. Topics include measure theoretic probability, martingales, filtration, and stopping theorems, elements of large deviations theory, Brownian motion and reflected Brownian motion, stochastic integration and Ito calculus and functional limit theorems. In addition, the class will go over some applications to finance theory, insurance, queueing and inventory models.

Gamarnik, David, and Premal Shah. 15.070 Advanced Stochastic Processes, Fall 2005. (MIT OpenCourseWare: Massachusetts Institute of Technology), http://ocw.mit.edu/courses/sloan-school-of-management/15-070-advanced-stochastic-processes-fall-2005 (Accessed). License: Creative Commons BY-NC-SA


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