|Meetings: 9:30-10:45 TR, B211 Van Vleck|
|Instructor: Timo Seppäläinen|
|Office: 419 Van Vleck, Office Hours: by appointment|
|Course homepage: http://www.math.wisc.edu/~seppalai/735/735home.html|
Prerequisites. Formally 431 and consent of instructor. The true prerequisite is a certain degree of mathematical maturity. Consent is automatic for students who have had advanced undergraduate or graduate analysis or probability.
Textbook. No textbook is required.
The lectures will be based on a number of sources.
Lecture notes will be available on the web, as the
instructor gets material ready.
If students wish to acquire a book, a modern treatment of the subject
can be found in
P. Protter: Stochastic Integration and Differential Equations, Springer.
According to the Springer website, this book should be available in October. A good, carefully written book is
Y. Karatzas and S. Shreve: Brownian Motion and Stochastic Calculus, Springer.
This book covers integrals with respect to continuous martingales. A third source are the concise lecture notes on T. Kurtz's homepage: http://www.math.wisc.edu/~kurtz/m735.htm
Description. Here is a tentative list of possible topics. The amount of time devoted to the fundamentals in the beginning will depend on the level of background that the audience possesses.
Grades. Course grades will be based on homework sets.