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Course Info

  • Course Number / Code:
  • 15.07 (Fall 2005) 
  • Course Title:
  • Advanced Stochastic Processes 
  • Course Level:
  • Graduate 
  • Offered by :
  • Massachusetts Institute of Technology (MIT)
    Massachusetts, United States  
  • Department:
  • Sloan School of Management 
  • Course Instructor(s):
  • Prof. David Gamarnik
    Premal Shah 
  • Course Introduction:
  •  


  • 15.070 Advanced Stochastic Processes



    Fall 2005




    Course Highlights


    This course features a complete set of lecture notes from the instructor, together with the assignments and exams.


    Course Description


    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 limit theorems. In addition, the class will go over some applications to finance theory, insurance, queueing and inventory models.
     

ACKNOWLEDGEMENT:
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