Dec
14
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. Topics: * 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
no comment as of now