Detailed Course Information |
Fall 2015
Apr 20, 2024 |
|
 |
||
| Select the desired Level or Schedule Type to find available classes for the course. |
| APMA 2811S - Levy Processes |
|
Lévy processes are the continuous-time analogues of
random walks, and include Brownian motion, compound Poisson processes,
and square-integrable pure-jump martingales with many small jumps. In
this course we will develop the basic theory of general Lévy processes
and subordinators, and discuss topics including local time,
excursions, and fluctuations. Time permitting we will finish with
selected applications which are of mutual interest to the instructor
and students enrolled in the class. Prerequisite: APMA 2640 or
equivalent.
1.000 Credit hours 1.000 Lecture hours Levels: Graduate, Undergraduate Schedule Types: Primary Meeting Applied Mathematics Department Restrictions: Must be enrolled in one of the following Levels: Graduate |
| Return to Previous | New Search |
|