Note: If you request to take this course, please take your
add form first to the Statistics Department (100 St. George St., 
6th floor) for their approval.

** New graduate course **

STA 4247HS: Point processes, noise and stochastic analysis

Instructor: Balint Virag

Tuesdays and Thursdays, 9:30-11, in SS2127, 100 St. George St.
First class: Tuesday, January 10th, 2012

Description: Introduction to the theory of point processes - Poisson and 
compound processes, point processes with repulsion and attraction. 
Brownian motion, white noise. Stochastic integration and stochastic 
differential equations.


* Poisson processes
* Determinantal and permanental processes
* Random analytic functions and their zeros
* Brownian motion, construction and path properties
* White noise and other noises
* Skorokhod's embedding
* Blackwell's proof of the CLT and Donsker's theorem
* Kolmogorov-Chentsov theorem
* Law of iterated logarithm
* Levy's modulus of continuity
* Stochastic integrals (first with no theory), Ito's formula,
  change of variables
* L2 theory of stochastic integration
* Cameron-Martin formula

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