| dc.contributor.author | Gamarnik, David | en_US |
| dc.contributor.author | Shah, Premal | en_US |
| dc.coverage.temporal | Fall 2005 | en_US |
| dc.date.issued | 2005-12 | |
| dc.identifier | 15.070-Fall2005 | |
| dc.identifier | local: 15.070 | |
| dc.identifier | local: IMSCP-MD5-a79919c2f368c45fd757606664b584df | |
| dc.identifier.uri | http://hdl.handle.net/1721.1/86311 | |
| dc.description.abstract | 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. | en_US |
| dc.language | en-US | en_US |
| dc.rights.uri | Usage Restrictions: This site (c) Massachusetts Institute of Technology 2014. Content within individual courses is (c) by the individual authors unless otherwise noted. The Massachusetts Institute of Technology is providing this Work (as defined below) under the terms of this Creative Commons public license ("CCPL" or "license") unless otherwise noted. The Work is protected by copyright and/or other applicable law. Any use of the work other than as authorized under this license is prohibited. By exercising any of the rights to the Work provided here, You (as defined below) accept and agree to be bound by the terms of this license. The Licensor, the Massachusetts Institute of Technology, grants You the rights contained here in consideration of Your acceptance of such terms and conditions. | en_US |
| dc.rights.uri | Usage Restrictions: Attribution-NonCommercial-ShareAlike 3.0 Unported | en_US |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-sa/3.0/ | en_US |
| dc.subject | analysis | en_US |
| dc.subject | modeling | en_US |
| dc.subject | stochastic processes | en_US |
| dc.subject | theoretic probability | en_US |
| dc.subject | martingales | en_US |
| dc.subject | filtration | en_US |
| dc.subject | stopping theorems | en_US |
| dc.subject | large deviations theory | en_US |
| dc.subject | Brownian motion | en_US |
| dc.subject | reflected Brownian motion | en_US |
| dc.subject | stochastic integration | en_US |
| dc.subject | Ito calculus | en_US |
| dc.subject | functional limit theorems | en_US |
| dc.subject | applications | en_US |
| dc.subject | finance theory | en_US |
| dc.subject | insurance | en_US |
| dc.subject | queueing | en_US |
| dc.subject | inventory models | en_US |
| dc.title | 15.070 Advanced Stochastic Processes, Fall 2005 | en_US |
| dc.title.alternative | Advanced Stochastic Processes | en_US |
