Mar 14, 2025  
University of Alberta Calendar 2020-2021 
    
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University of Alberta Calendar 2020-2021 [ARCHIVED CATALOG]

MATH 505 - Stochastic Analysis I

★ 3 (fi 6) (first term, 3-0-0) Discrete-time stochastic analysis: Stochastic basis, filtration, stochastic sequences. Absolute continuity of probability measures and conditional expectations. Martingale-like and predictable stochastic sequences. Doob’s decomposition. Stopping times and related properties. Uniformly integrable stochastic sequences. Transition from discrete-time to continuous-time stochastic analysis. Introduction to stochastic integration with respect to Brownian motion. Prerequisites: STAT 471 or consent of the Department.