Advanced Stochastic Processes

A graph depicting three examples in blue, yellow, and green of stopped Brownian motion.

Hitting and stopping times of three samples of Brownian motion. (Image courtesy of Thomas Steiner on Wikimedia Commons. License: CC-BY-SA.)

Instructor(s)

MIT Course Number

15.070J / 6.265J

As Taught In

Fall 2013

Level

Graduate

Cite This Course

Course Features

Course Description

This 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. 15.070J Advanced Stochastic Processes, Fall 2013. (MIT OpenCourseWare: Massachusetts Institute of Technology), http://ocw.mit.edu/courses/sloan-school-of-management/15-070j-advanced-stochastic-processes-fall-2013 (Accessed). License: Creative Commons BY-NC-SA


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