Math 565b - Stochastic Processes in Continuous Time
Prof. Kennedy - Fall 2005
Course home page:
www.math.arizona.edu/~tgk/565b/index.html
Instructor:
Tom Kennedy (Professor, Mathematics)
email: tgk@math.arizona.edu
Phone: 621-6696
Office: Math 607
Office hours:
will be announced in class and
posted on the web.
Text(s): The nominal text for the course is
A Modern Approach To Probability Theory by Fristedt and Gray.
This is only because many of you have it already.
I won't pay much attention to it. I will draw from
- Diffusions, Markov Process, and Martingales, Volumes I and II (mainly I)
by Chris Rodgers and David Williams
- Continuous Martingales and Brownian Motion by Daniel Revuz and Marc Yor
- Markov Processes: Characterization and Convergence by
Thomas G. Kurtz and Stewart N. Ethier
-
Joe Watkins notes
Prerequisites: The official prerequisites are Math 565a, Math563.
(Note that Math563b last semester was effectively Math565a.)
I don't insist that you have taken these courses, but I will assume that you have.
I will review some of this material when we need it.
Homework: Homework is the most important part of the course.
The only way to learn mathematics is by doing it.
I will give out homework sets of about 8 problems every other week.
Exams/Grading: This is an advanced graduate level course; there
will not be any exams. Grades will be based on completed homework and
an optional term paper. To get an A you must do (essentially correctly)
40 or more problems. 30 or more problems merits a B.
You may do a term paper and it will count for 10 problems. (Possibly a little
more if it is really good.)
Homework collaboration: You can work together on it, provided
you are truly working on it together.
Incompletes: I will not accept any problem sets or term papers
after the last day of classes. In particular, I will not give incomplete so
you can have more time to finish problem sets or term papers. If you plan
on getting sick the last week of classes you should finish the work you
plan to turn in before then.