May 15, 2024  
University of Alberta Calendar 2022-2023 
    
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University of Alberta Calendar 2022-2023 [ARCHIVED CATALOG]

MATH 505 - Stochastic Analysis I

Course Career Graduate
Units 3
Approved Hours 3-0-0
Fee index 6
Faculty Science
Department Mathematical & Statistical Sci
Typically Offered first term

Description
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.