Stochastic Processes II (Continuous Time)
- Math 565B
- Fall 2017
- Times/Place Tuesdays, Thursdays 9:30 - 10:45am; in Math 514
- Instructor: Sunder Sethuraman
- Office: ENR2 S413
- Telephone: (520) 621-1774
- E-Mail: sethuram@math.arizona.edu
- Tentative Office Hours: Mondays 2:15pm - 3:15pm, Thursdays 3:00pm - 3:50pm, and other times by stopping by.
- Although there is no required text, the following, among others, will be useful in parts of the course:
- Continuous Time Markov Processes (AMS), TM Liggett
- Stochastic Processes (Courant Lectures), SRS Varadhan
- Probability: Theory and Examples (book), R. Durrett
- Stochastic Calculus (CRC), R. Durrett
- BM and Stochastic Calculus, Karatzas-Shreve (Springer)
- Continuous Time Martingales and BM, Revuz-Yor (Springer)
- Weak Convergence of Measures, P. Billingsley
- Markov Processes: Characterization and Convergence (Wiley), T. Kurtz
- Diffusions, Markov Processes and Martingales, Rogers-Williams
- Foundations of Modern Probability, O. Kallenberg
- Probability, L. Breiman
- The lecture notes of J. Watkins for a similar course in 2006 may be useful as a resource.
- Syllabus/Tentative Schedule: We will begin with some preliminary material on foundations in stochastic processes. Then, we will proceed to cover units on Brownian motion, Continuous time MC on discrete spaces, and more general Markov processes. Depending on class interests, some other topics may be discussed.
- Grades will be based on the HW's, every 2 weeks or so.