Course MAT486

Random Processes

(Replaces MAT391 beginning AY 2012-13)

Wiener measure, Stochastic differential equations, Markov diffusion processes, Linear theory of stationary processes, Ergodicity, mixing, central limit theorem for stationary processes, Gibbs random field. If time permits, the theory of products of random matrices and PDE's with random coefficients will be discussed.

Description of classes

Classes meet Monday and Wednesday.


Class notes will be used instead of textbooks. 10 problems will be assigned weekly.

Placement and Prerequisites

Take Home Final Exam - 50%
Problem set(s) - 50%