MATH 649/STAT 931:   Probability Theory II: Stochastic Process

Spring 2020
Instructor: Zhenfu Wang

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The Course

This course is the continuation of MATH 648/STAT 930, the 2nd part of Pobability Theory for PhD students in the math or statistics department. The main topics include Matingales, Markov Chains, Brownian motions and basic Ito's calculus. We will cover Chapter 4, 5, 7, and some materials from chapter 8 of the textbook and basic Ito calculus.

Text: Probability: Theory and Examples (Cambridge Series in Statistical and Probabilistic Mathematics) 5th Edition, by Rick Durrett.

We will use canvas to upload grades, post homework, make announcements, and share course notes. "https://canvas.upenn.edu/"

Students can discuss problems with each other or seek tips from books, articles or online rescources. But it is wrong to simply copy from any source. See Penn Office of Student Conduct.

Students with disbilities shall contact SDS directly.



Syllabus

We will cover chapter 4, 5,7 and some of chapter 8 in the textbook. If time permits, we will aslo cover basic Ito calculus.

Grading Policy

Your grade for the course will be determined based on the following factors:

The Midterm Exam : 10%
The Final Exam : 15%
Homework and others : 75%


Exams

We will have one Midterm exam and one Final exam.

The Midterm exam : Wednesday, March 4. (Based on materials covered before this midterm.)

The Final exam : TBA. (Cumulative Test. Based on all materials covered in this semester but give more weights to materials covered after March 4.)


Homework

Homework will be assigned regularly (weekly or biweekly).


Important dates

Jan. 15, Wednesday, First date of classes.

Jan. 20, Monday, Martin-Luther King, Jr Day, NO Classes.

Feb. 24, Monday, Drop Period ends.

March 30, Monday, Last day to withdraw from a course.

April 29, Wednesday, Last Day of Classes.


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