MATH 672, SPRING 2005
Probability Theory II --- Stochastic Calculus
MW 8:40 -- 9:55 205 Malott
Greg Lawler, 567 Malott
TA: Yan Zeng
Office Hours: Greg Lawler (T 2:00 -- 3:00, W 10:00 -- 11:00),
Yan Zeng (M 5:00 -- 7:00)
Text
Oksendal, Stochastic Differential Equations We will cover Chapters
3--5, 7--9, 12 (perhaps skipping
some sections). After that, we may do some other topics
from probability.
Homework and Exams
Regular HW assignments will be given in the lectures.
They will be due on Wednesdays in class.
There will be no final exam.
PS1 (due Feb. 2) EP1-1, EP1-2
PS2 (due Feb. 9) 3.2, 3.18, 4.1, 4.2, and
EP2-1
PS3 (due Feb. 16) 4.4, 4.5, 4.6(b), 4.11(a), and
EP3-1
PS4 (due Feb. 23) 5.1 (ii), (iv), 5.3, 5.9, 5.11
PS5 (due Mar. 2) 7.1, 7.8(a), 7.9, 7.18,
and EP5-1
PS6 (due Mar. 9) 8.3, EP6-1,
EP6-2, EP6-3, EP6-4
PS7 (due Mar. 16) 8.5, 8.6 EP7-1, EP7-2
PS8 (due Apr. 6) 8.11, 8.12, 8.16,
EP8-1, EP8-2
PS9 (due Apr. 13) 9.11,
EP9-1, EP9-2, EP9-3
PS10 (due Apr. 27) 12.1 (a), 12.2
EP10-1, EP10-2, EP10-3
(NOTE: EP10-2 has been corrected --- "makes" should
be replaced by "does not make".
EP10-3 has been corrected in two ways --- change
"nonnegative" to "positive" and the initial
condition on $f_0$ was incorrect)
PS11 (due May 4) 12.6, 12.8 -- 12.11
Selected HW Solutions
(Includes all problem set)
Last modified: 17 May 2005