FINM 34000

Probability and Stochastic Processes 

Winter Quarter
Instructor: Jostein Paulsen
Syllabus

The course will give an introduction to basic elements of probability and stochastic processe including: basic probabililty theory; univariate and multivariate distributions; dependence and indepen-dence; conditional distributions; Markov chains; Markov decision theory; Poisson processes; Martingales; Brownian motion. Measure theory is not used.

Emphasis is on understanding the theory and ability to solveproblems. Some problems will require the use of computer programming.

This course takes place in the first five weeks of the quarter.