6.265J 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.

6.265J will not be offered this semester. It will be available in the Fall semester, and will be instructed by D. Shah and D. Gamarnik.

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

You can find more information on MIT OpenCourseWare at the Advanced Stochastic Processes site.

MIT 6.265J Advanced Stochastic Processes Related Textbooks
MIT 6.265J Advanced Stochastic Processes On The Web
Advanced Stochastic Processes
motion stochastic theorems brownian theory

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