Probability Theory II
Spring 2013

Instructor: Ben Steinhurst
Email: steinhurst at math dot cornell dot edu. (When you send an email message, please identify yourself at the end.)
Office hours: T 2-4 and by appointment
TA
Yue Zhao
Email: yz453
Office Hours: TBA
Course info:
Lecture MWF 10:10-11:00 in Malott 205
Course description: The goal of the course is to cover stochastic integration in as much depth as time allows. This will cover along the way Brownian motion and continuous time martingales. We will explicitly be using the topics covered in Math6710 Fall 2012 at the starting point for this course. We will attempt to cover extensions of stochastic calculus to non-continuous processes as time permits.
Course evaluation:
Will be based on homework assignments, presentations in class throughout the semester and a final written survey of a topic related to the material covered in lecture.
Course documents:
  • "Stochastic Processes" Richard Bass. The bookstore and Amazon both have this book.
Announcements:
  • 22 February 2013: There will be a guest lecture from Nate Eldredge on 27 February.
  • 6 February 2013: There will be no lecture on 11 February as I will be out of town.
  • 30 Jan 2013: I will be out of town on 1 Feb, however Lionel Levine will be guest lecturing about Poisson processes. I will also be out of town on 11 Feubrary. No arrangements have been made for that yet.
  • 18 Jan 2013: I will be out of town on 1 Feb, there will probably be a guest lecturer but if not class will be canceled.
  • 15 Jan 2013: The schedule for the first several weeks of the course will be tentative due to short-notice travel. Also I will be at a conference the last week of classes, what this means will be announced during the semester.

Assignments

This list will mostly be updated after the fact as a reference for what we have discussed and to post homework assignments.

HW # Due Chapters Link
February 13
until done 		Chapters 6-9 plus TBD
  1. 6.1 Evan Randles
  2. 6.2 Dan Kowal
  3. 7.1 Costandino Moraites
  4. 7.2 Will Nicholson
  5. 7.3 Benjamin Risk
  6. 8.1 Edward Mehrez
  7. 9.3-9.5 Diwakar Rasingh
  8. 9.6-9.7 Nathan Jacobson
  9. 9.8-9.10 Ben Steinhurst
  10. 9.11 Didier Chetelat
  11. 9.12 Vardan Verdiyan
  12. Levy Rob Kesler
1 February 15 Chapters 1-5 HW1
2 March 8 Chapters 6-10 HW2
FP March 15 Final Project Proposals Due Project
FP April 12 Final Project Drafts Due
FP May 3 Final Project Papers Due
FP May 13-17 Final Project Presentations

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Lasted Updated: 22 Feburary 2013.