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About the Summer School

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About the Summer School

The focus of this summer school is a mix of both traditional and modern topics in probability theory. The topics include Markov Chains (with a focus on recent developments), Martingale theory and Brownian Motion. More recent topics include Stochastic Calculus, percolation theory and an introduction to stochastic control.

The prerequisites for the school would be measure theoretic probability and basic real and complex analysis. The treatment of the topics would be mathematical, but emphasising probabilistic ideas and techniques. However the mathematical requirements are not uniform for all the topics to be presented. There will be a review of measure theory and tutorial sessions to supplement the main lectures to help those coming from a non-mathematical background.

The first week would begin with Markov Chains and Martingale theory. The Martingale theory would be an essential pre-requisite for the stochastic calculus in the second week. The first week will also include a series of lectures on Brownian motion and its basic properties. The second week will be mainly devoted to stochastic calculus and its applications to Stochastic control etc. The lectures on Percolation theory would span both weeks. We hope to add more details about the lectures and topics in due course.


This page was last modified on Tuesday, 1st-June-2005

[ Indian Statistical Institute ] [ Stat-Math Unit ]