15.070 Advanced Stochastic Processes, Fall 2005
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15-070-fall-2005/contents/index.htm
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Author(s)
Gamarnik, David
Shah, Premal
Alternative Title
Advanced Stochastic Processes
Date Issued
December 2005
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.
Subjects
analysis
modeling
stochastic processes
theoretic probability
martingales
filtration
stopping theorems
large deviations theory
Brownian motion
reflected Brownian motion
stochastic integration
Ito calculus
functional limit theorems
applications
finance theory
insurance
queueing
inventory models
MIT Department
Sloan School of Management
Terms of Use
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