Course No
M658
Credit
4
Approval
Syllabus
Martingale Theory: Radon-Nikoydm Theorem, Doob-Meyer decomposition.
Weak convergence of probability measures,
Brownian motion, Markov processes and Stationary processes.
Reference Books
- O. Kallenberg: Foundation of Modern Probability (Springer)
- P. Billingsley: Convergence of probability measures.(John Wiley & Sons, Inc.)
- D. Revuz & M. Yor: Continuous martingales and Brownian motion (Springer-Verlag)
- S. M. Ross: Stochastic Processes (Wiley)
- J. L. Doob: Stochastic Processes (Wiley)