| Unit name | Stochastic Processes |
|---|---|
| Unit code | MATHM6006 |
| Credit points | 10 |
| Level of study | M/7 |
| Teaching block(s) |
Teaching Block 1 (weeks 1 - 12) |
| Unit director | Dr. Yu |
| Open unit status | Not open |
| Pre-requisites |
None |
| Co-requisites |
None |
| School/department | School of Mathematics |
| Faculty | Faculty of Science |
This course will begin with an introduction to Brownian motion. Starting from scratch, we will define Brownian motion and study its relation to the scaling of random walks, as well as several of its basic properties. We will then study several applications and extensions of Brownian motion. Among the topics we hope to include are: higher dimensional Brownian motions, the Brownian bridge and excursion, the fundamental relation to harmonic functions and differential equations, conformal invariance of Brownian motion, Ito&�s formula.
