Course: STAT 38510=MATH 38511
Title: Brownian Motion and Stochastic Calculus
Instructor(s): Greg Lawler
Teaching Assistant(s): Petr Panov
Class Schedule: Sec 01: TR 9:30 AM–10:50 AM in Jones 226
Description: This is a rigorous introduction to the mathematical theory of Brownian motion and the corresponding integration theory (stochastic integration). This is material that all analysis graduate students should learn at some point whether or not they are immediately planning to use probabilistic techniques. It is also a natural course for more advanced math students who want to broaden their mathematical education and to increase their marketability for nonacademic positions. In particular, it is one of the most fundamental mathematical tools used in financial mathematics (although we will not discuss finance in this course). This course differs from the more applied STAT 39000 in that concepts are developed precisely and rigorously.
Prerequisite(s): The usual prerequisites are either the first-year graduate mathematical analysis sequence (mainly the material in MATH 31200) or STAT 38100-38300, the first two quarters of the statistics measure-theoretic probability sequence.