MATH 481 Introduction to Stochastic Processes

Fall 2008

Instructor: Tomasz R. Bielecki

 Basic Info:

• Basic Info

Lectures:

• Lecture 1
• Lecture 2
• Lecture 3
• Lecture 4
• Lecture 5
• Lecture 6
• Lecture 7
• Lecture 8
• Lecture 9
• Lecture 10
• Lecture 11

Homework Solutions:

· HW – Lecture 1, , HW – Lecture 2, HW – Lecture 3, HW – Lecture 4, HW – Lectures 5 & 6, HW – Lectures 7 & 8; HW – Lecture 9, HW – Lecture 10, HW – Lecture 11

Announcements and Coming Attractions:

· Final Exam: Tuesday, December 9, 7:30-9:30 pm

• Instructions for Final Exam and Practice Problems
• Practice Problems - Hints

Supplementary Material:

· Additional Topics for Finite Chains

· Introduction to Countably Infinite Chains

· Special HW

· Complement on Conditional Expectations and Filtrations

· Extra Problems on Martingales