Martingales, martingale convergence, stopping times, optional sampling, optional stopping theorems and applications, maximal inequalities. Brownian motion, introduction to diffusions.

Prerequisites: PSTAT 213B

4

Units

Optional

Grading

1, 2, 3

Passtime

None

Level Limit

Letters and science

College
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HU R
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Spring 2024 . Ichiba T
GIRV 2116
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Spring 2026 . Feldman R
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