Syllabus for Math 452

Text: Karatzas and Shreve, Brownian Motion and Stochastic Calculus, 2nd ed., 1994, Springer-Verlag.

This is a continuation of Math 451. We will here focus on some of the modern theory of stochastic processes. See also the Course Catalog Entry for Math 452 or the list of UIUC Probability Theory Classes.

Grades will be determined on the basis of homework questions.

Provisional Schedule

Note: the above links are to jpeg versions of the lecture notes.

Additional References:

Go to exercise page

Old Classes Page for R. Sowers

Richard Sowers (Home Page)
Department of Mathematics
University of Illinois at Urbana-Champaign
1409 W Green St.
Urbana, IL 61801
(217) 333-6246