Stochastic Processes - Summer 2016

Time/Room: Thursday 10:40-12:10, P112
Instructor: Keita Owari
Office Hours: random
Textbook: none

Some Recommended Texts

[1]	Rick Durret Probability: Theory and Examples, 4th edition Cambridge University Press, 2010. x+428 pp. ISBN: 978-0-521-76539-8 Version 4.1 is available at the author's web page
[2]	David Williams Probability with Martingales Cambridge University Press, 1991. xvi+251 pp. ISBN: 0-521-40455-X; 0-521-40605-6 Japanese Translation: 赤堀次郎, 原啓介, 山田俊雄 (訳), マルチンゲールによる確率論, 培風館, 2004
[3]	William Feller An Introduction to Probability Theory and Its Applications. Vol. I. 3rd edition Wiley, 1968 xviii+509 pp.

Course Materials

Lecture Notes

• Conditional Expectation
• Convex Functions: supplementary note on the representation of convex functions on \(\mathbb R\): \[g(x)=\sup_{y\in\mathbb R}(xy-g^*(x)),\,\forall x\in\mathbb R\]

HW/Exercises