Prof. David Gamarnik
15.070J / 6.265J
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