15.070 Advanced Stochastic Processes, Fall 2005

Author(s)
Gamarnik, David; Shah, Premal
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Alternative title
Advanced Stochastic Processes
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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.
Date issued
2005-12
URI
http://hdl.handle.net/1721.1/86311
Department
Sloan School of Management
Other identifiers
15.070-Fall2005
local: 15.070
local: IMSCP-MD5-a79919c2f368c45fd757606664b584df
Keywords
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
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