MATH 923
Topics in Analysis: Stochastic Calculus and Analysis
Queen's University
Winter 2018


Instructor TA
Abdol-Reza Mansouri
416 Jeffery Hall        
3-2419
mansouri@queensu.ca


Textbook
  • Continuous Martingales and Brownian Motion (3rd ed.), by D. Revuz and M. Yor (Springer)
Lectures
  • Wednesday 17:00-18:30 (JEFFERY 319)
  • Thursday 16:00-17:30 (JEFFERY 319)
Homeworks:
Homework 1
Homework 2
Homework 3
Homework 4
Homework 5
Homework 6
Homework 7
Homework 8
Homework 9


Presentation Schedule (Friday April 20, Jeffery 422):
  • 9-10am: Burkholder-Davis-Gundy Inequalities (Greg)
  • 10-11am: Brownian Martingales (Alireza)
  • 11am-noon: Local Time (Curtis)
  • noon-1pm: Girsanov Theorem (Mohammad)