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Syllabus MA783 Fall 2021

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20 views

Syllabus MA783 Fall 2021

Uploaded by

Chen Wu
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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MA 783 - Advanced Stochastic Processes-Fall 2021

Instructor: Konstantinos Spiliopoulos


Oce:111 Cummington Street, Room MCS233D
Email:[email protected]
Course web-page: http://math.bu.edu/people/kspiliop/MA783Fall2021.html
Meets: TuTh... 11:00-12:15 at CAS 314
Readings: We will combine many dierent sources, including selections from textbooks and re-
search articles.
Primary Texts:
1. Stochastic dierential equations, Øksendal B., Springer Berlin Heidelbrg, 2003
2. Brownian motion and stochastic calculus, Karatzas I., Shreve S., Springer, 2012.
3. Stochastic Processes, Bass RF, Cambridge University Press, 2011.
4. Stochastic Processes and Applications, Grigorios A. Pavliotis, Springer Texts in Applied Math-
ematics, 2014.
Prerequisites: MA 779 and MA 780, Probability Theory I and II, or their equivalents; or
consent of instructor. The students are required to have a solid understanding of graduate level
probability and calculus.
Course Description: Proof-based approach to stochastic processes. Topics may include:
Sigma algebra, ltrations, optional sampling theorems, stopping times, martingale theory, Markov
processes, Brownian motion, Poisson processes, stochastic integral and related properties, stochastic
dierential equations, Ito formula, calculus for semimartingales, Markov property, connections to
partial dierential equations, Fokker-Planck equation.
Tentative grading policy: Your grade will be based on :(a) Homework (55%), (b) midterm
exam (20%) and nal exam (25%). The grading policy may change according to the progress of the
class.
Exams: There will be one midterm exam and one nal exam. The exam material for each one
of the two exams will be announced in class and posted on the webpage of the course.
Homeworks: There will be several homeworks, both theoretical and more of applied avor.
The due date of each homework will be announced in class and it will usually be 7-10 days after.
The lowest homework will be dropped if you participate in class. Late homeworks will NOT be
accepted.
Late homework policy: No late homework will be accepted.
Make-up policy: Make up exams will be given only in extreme circumstances, and only when
accompanied by appropriate documentation. Any student with a valid reason to be given a make up
exam must contact me prior to the exam, either by email or in person, and present documentation
at the next class session attended.
Cheating: No form of cheating or plagiarism will be tolerated. University's policy and my
policy are very strict here.

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