Course Archives Theoretical Statistics and Mathematics Unit

Course: Stochastic Processes Level: Postgraduate Time: Currently not 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). Top of the page Past Exams

Midterm 05.pdf 07.pdf 07a.pdf 11.pdf 15.pdf 17.pdf 19.pdf Solution 15.pdf Semestral 05.pdf 11.pdf 15.pdf 17.pdf 19.pdf Solution 15.pdf Supplementary and Back Paper 19.pdf Top of the page

[ Semester Schedule ] [ SMU ] [Indian Statistical Institute]