15.070 Advanced Stochastic Processes, Fall 2005
The class covers the analysis and modeling of stochastic processes. Topics include measure theoretic probability, martingales, filtration, and stopping theorems, elements of large deviations theory, Brownian motion and reflected Brownian motion, stochastic integration and Ito calculus and functional...
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| Language: | en-US |
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2005
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| Subjects: | |
| Online Access: | http://hdl.handle.net/1721.1/86311 |