Math 645. Advanced stochastic processes

**Spring 2015 **

**Instructor:** Alex Roitershtein

**Office:** 420 Carver Hall

**Phone:** (515) 294- 8135

**Email:** roiterst@iastate.edu

**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.

**Syllabus:**

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.

**Tests:**

Both the tests will be held in a "take-home" format.

Samples will be posted approximately 10 days ahead of each test.

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.

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:**

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.

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**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