6.265[J] Advanced Stochastic Processes

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, 18.100A, 18.100B, and 18.100C as prerequisites.

6.265[J] will not be offered this semester. It will be instructed by D. Shah and D. Gamarnik.

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

In the Fall 2013 Subject Evaluations, 6.265[J] was rated 6.4 out of 7.0. You can find more information on MIT OpenCourseWare at the Advanced Stochastic Processes site.