Hitting and stopping times of three samples of Brownian motion. (Image courtesy of Thomas Steiner on Wikimedia Commons. License: CC-BY-SA.)
Instructor(s)
Prof. David Gamarnik
MIT Course Number
15.070J / 6.265J
As Taught In
Fall 2013
Level
Graduate
Course Description
Course Features
Course Description
This 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.
