Probability Theory II
Spring 2012

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: F 2-4 and by appointment
TA
Email:
Office Hours:
Course info:
Lecture MWF 11:15 - 12:05 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 2010 at the starting point for this course.
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.

Lecture List with 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
1 Feb. 13 Chapters 1-5 PDF
2 Mar. 7 Chapters 9-11 PDF
Mar 15 Project Proposals Guidelines
Apr. 16 Project Complete draft due
3 Apr 23 Chapters 12,13,19-21 PDF
May 7 Project Final draft due presentations this week.

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Lasted Updated: 2 April 2012.