Stochastic Processes

STA961

Conditional probabilities and Radon-Nikodym derivatives of measures; tightness and weak convergence of probability measures, measurability and observability. Markov chains, Brownian motion, Poisson processes. Gaussian processes, birth-and-death processes, and an introduction to continuous-time martingales. Prerequisite: STA711 and STA732. 3 units.