APMA 2640 - Theory of Probability

Institution:

Brown University

Subject:

Description:

A one-semester course in probability that provides an introduction to stochastic processes. The course covers the following subjects: Markov chains, Poisson process, birth and death processes, continuous-time martingales, optional sampling theorem, martingale convergence theorem, Brownian motion, introduction to stochastic calculus and Ito's formula, stochastic differential equations, the Feynman-Kac formula, Girsanov's theorem, the Black-Scholes formula, basics of Gaussian and stationary processes. Prerequisite: AMPA 2630 or equivalent course.

Credits:

1.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.brown.edu

Phone Number:

(401) 863-1000

Regional Accreditation:

New England Association of Schools and Colleges

Calendar System:

Semester

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