MATH 672: Probability Theory — Stochastic Calculus and Applications (Spring 2005)

Instructor: Gregory Lawler

Meeting Time & Room

This will be a continuation of MATH 671. The main topic will be stochastic integration with respect to continuous martingales (e.g., Brownian motion) and applications to elliptic and parabolic differential equations. I will assume that students have seen a little bit of Brownian motion (the necessary material will be done in the last five weeks of MATH 671 so feel free to join that class now if you are interested in MATH 672).

In the last few weeks of the class, I will do some other topics in probability. These topics will be decided later and may depend on student interest.

Last modified: October 5, 2004