Course Archives Theoretical Statistics and Mathematics Unit
Course: Stochastic Processes
Instructor: B Rajeev
Room: G25
Level: Postgraduate
Time: Currently offered
Syllabus
Past Exams


Syllabus: Weak Convergence of probability measures on Polish spaces including C[0, 1], Brownian motion; construction, simple properties of paths, Connections between Brownian Motion / Diffusion and PDEs. Time permitting: Stationary processes, Markov processes and generators.

Suggested Texts :
1. P. Billingsley, Convergence of probability measures, John Wiley (1999).
2. K. Ito, Lectures on Stochastic Processes, TIFR Lecture Notes (1960).
3. D. Revuz andM. Yor, Continuous martingales and Brownian motion, Springer- Verlag (1999).
4. I. Karatzas and S.E. Shreva, Brownian Motion and Stochastic Calculus, GTM 113, Springer (1991).
Evaluation:
Midterm Exam marks
Assignment
Final Exam marks
Total 100 marks


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Past Exams
Midterm
05.pdf 07.pdf 07a.pdf 11.pdf 15.pdf 17.pdf
Solution
15.pdf
Semestral
05.pdf 11.pdf 15.pdf 17.pdf
Solution
15.pdf
Supplementary and Back Paper

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