Stochastic Process I Semester -II 01-02
http://www.isid.ac.in/ athreya/SP102

Instructor: Siva Athreya
Time: Mon-9:30-11:00 , Thu-11:30-1:00
Room: 13
Office: 310

Text(s):

1. Probabilistic Techniques in Analysis, R. Bass. (515.1 B317.PT)
2. Brownian Motion and Stochastic Calculus, Karatzas and Shreve.
3. Convergence of Probability measures, P. Billingsley (519.2 B598.CP)
4. Markov Processes, Characterization and Convergence , S. Ethier and T.Kurtz. (519.233 ET84.MP)

Syllabus: Brownian motion, Weak-convergence of Probability measures.

E-Mail: My e-mail address is athreya@isid.ac.in.

WWW-page: I shall maintain a course home-page, at the following address:
http://www.isid.ac.in/~athreya/sp102 . The page should serve as a useful archive.

Tests: There shall be three exams in the semester.
Test 1: February 14th, 2002
Test 2: March 28th, 2002
Final Exam: April -**date will be announced later.

Scoring: Each of the tests will be worth 25 %. Final exam is worth 40 % and . Homework assignments will consist of 10 % of the score.

Assignments: There will be regular homework assignments during the semester. You are encouraged to work together on solving the problems but write up your own individual solutions.

Feedback: Please feel free to drop by my office to clear up difficulties. I would appreciate feedback from you as the course progresses. If there are suggestions/clarifications that you have then do let me know. http://www.isid.ac.in/~athreya/sp102/handout.html
[Stochastic Process I page]