6.265/15.070 Advanced Stochastic Processes
Spring 2012
image restricted to class participants
An artistic rendering of smoke, which can be modeled by a class of diffusion processes in space. ("Chromatic Smoke" by Humble Novice)
Instructor: Devavrat Shah
TA: Kuang Xu
Lecture: MW 2:30-4:00 (32-144)
Information:
An advanced course devoted to the theory of random processes. Constituent topics include large deviations theory, Martingales and stopping time theorems, Brownian Motion and Reflected Brownian motion, Ito calculus, theory of weak convergence. We will also cover applications from queueing theory to mathematical finance.
Announcements
additional office hour
Class,I will be holding an additional office hour (2-3 pm on Monday, May 21, in 32-D666) during the take-home exam in case any question is unclear. (Unfortunately I won't be able to give you any hints at that point.)
You are allowed to use any material in the final, but collaboration of any form is strictly prohibited.
Kuang
Announced on 20 May 2012 1:42 p.m. by Kuang Xu
Final exam logistics
Class,The final exam will be available on Stellar at 8 am on Monday, May 21. Please turn in your solutions to 32-D666 by 5 pm on Tuesday, May 22 (look for a box labeled with ``6.265/15.070''). Late submissions will not be accepted.
It has been a great semester working with you. Good luck!
Kuang
Announced on 19 May 2012 6:25 p.m. by Kuang Xu
Final exam
The take-home final exam will run from 8 am, Monday, May 21, to 5 pm, Tuesday, May 22. The exam problems will be posted on Stellar.Announced on 30 April 2012 2:36 p.m. by Kuang Xu
Ergodic Theory Part 1 Posted
Class,The first part of the lecture notes on ergodic theory has been posted under material.
Kuang
Announced on 19 April 2012 8:57 p.m. by Kuang Xu
Ergodic theory notes
The notes for today's lecture on ergodic theory has been posted. The notes for the last lecture will be posted soon.Announced on 18 April 2012 1:17 p.m. by Kuang Xu
