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 |
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Email: | yz453 | ||
Office Hours: | TBA | ||
Course info: |
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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. |
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Course documents: |
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Announcements: |
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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 |
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February 13 until done | Chapters 6-9 plus TBD
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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.