MIT Subject Listing & Schedule
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Searched for: "6.265"    Subjects offered any term

1 subject found.

6.265[J] Advanced Stochastic Processes

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(Same subject as 15.070[J])
Prereq: 6.431B, 15.085J, 18.100A, 18.100B, or 18.100Q
Units: 3-0-9
Lecture: MW1-2.30 (56-154)

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; functional limit theorems. Applications to finance theory, insurance, queueing and inventory models.
D. Gamarnik
Textbooks (Spring 2018)