Course Archives Theoretical Statistics and Mathematics Unit | |||||||||||||||||||
Course: Stochastic Processes Level: Postgraduate Time: Currently not offered |
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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). Top of the page Past Exams | |||||||||||||||||||
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[ Semester Schedule ] [ SMU ] [Indian Statistical Institute] |