printer friendly pageSTATS 219: Stochastic Processes (MATH 136)
Introduction to measure theory, Lp spaces and Hilbert spaces. Random variables, expectation, conditional expectation, conditional distribution. Uniform integrability, almost sure and Lp convergence. Stochastic processes: definition, stationarity, sample path continuity. Examples: random walk, Markov chains, Gaussian processes, Poisson processes, Martingales. Construction and basic properties of Brownian motion. Prerequisite:
STATS 116 or
MATH 151 or equivalent. Recommended:
MATH 115 or equivalent.
http://statweb.stanford.edu/~adembo/math-136/
Terms: Win
| Units: 3
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