Math 645. Advanced stochastic processes

Spring 2015

Instructor: Alex Roitershtein
Office: 420 Carver Hall
Phone: (515) 294- 8135
Office hours: T, Th 12:30pm-2:00pm, or by an appointment.

Class schedule: T, Th 11:00am-12:20pm, Black 1026
Textbook: Fima C. Klebaner, Introduction To Stochastic Calculus With Applications, 3rd edition, 2012.

We plan to cover the following topics:
1. Introduction, background on basic theory of integration and stochastic processes
2. Brownian motion,
3. Ito's calculus,
4. Stochastic differential equations,
5. Applications of stochastic calculus
Find here a version of this syllabus for print.

Grading policy:
Homework: 60% (6 hw assignments);
Take-home midterm: 20%;
Take-home final: 20%.

Translation from the percentage to the grade will be done according to the following key:
A 91-100, A- 86-90, B+ 81-85, B 76-80, B- 71-75, C+ 66-70, C 61-65, C- 56-60, D 50-55, F 00-49.

  • Current grades: PDF

    Both the tests will be held in a "take-home" format.
    Samples will be posted approximately 10 days ahead of each test.

  • Take-home midterm exam.
    The material to be covered: Chapters 3 and 4 in Klebaner's text.
    The exam will be distributed in class on Thursday, April 9 and collected in class on Thursday, April 16.
    Sample with solution.
    First exam with solution.
  • Take-home final exam.
    The material to be covered: Chapters 5 and 6 (partially) in Klebaner's text.
    The exam will be distributed in class on Thursday, April 30 and can be turn in any time until May 8, 11:59pm.
    Sample with solution.
    One more practice problem with a solution.
    Second exam with solution.

    Homework assignments will be given regularly, approximately once in a couple of weeks.
    Slight variations of the assigned problems are likely to appear on the tests.

  • Homework #1 (due Thursday, February 19)
    Solution .
  • Homework #2 (due Thursday, March 12)
    Solution .
  • Homework #3 (due Thursday, April 9)
    Solution .
  • Homework #4 (due Tuesday, April 28)
    Solution .
  • Homework #5 (due Thursday, April 30)
    Solution .
  • Homework #6 (not mandatory, bonus, turn in your solutions to any number of problems in any time until May 8, 11:59pm).
    Solution .

    Math help:
    Instructor's office hours
    Academic Success Center, 1076 Student Service Building, 294-6624
    Student Support Services, 2010 Student Services Building, 294-0210.

    Disabilities statement:
    It is Iowa State’s policy to help students with disabilities.
    Please contact me and/or Disability Resources Office, 1076 Student Services Building, 294-6624.

    Important Mqath Department policies pertinent to the course
    Please see the link to department course policies.

    Last updated: Sunday, May 17, 1:40 pm