15.070J Advanced Stochastic Processes


Class Info

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; functional limit theorems. Applications to finance theory, insurance, queueing and inventory models.

This class has 6.431, 15.085J, and 18.100 as prerequisites.

15.070J will be offered this semester (Fall 2017). It is instructed by D. Gamarnik and D. Shah.

This class counts for a total of 12 credits. This is a graduate-level class.

In the Fall 2013 Subject Evaluations, 15.070J was rated 6.4 out of 7.0. You can find more information on MIT OpenCourseWare at the Advanced Stochastic Processes site.

MIT 15.070J Advanced Stochastic Processes Related Textbooks
MIT 15.070J Advanced Stochastic Processes On The Web
Advanced Stochastic Processes
Tags
motion stochastic theorems brownian theory

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