Course Title:	Probability Theory: Stochastic Processes
Unique Number:	M 385C, CAM 384K (55695)
Time/Location of Lecture:	MWF 11:00-12:00, RLM 11.176
Instructor:	Professor Hans Koch

Brief description:   This is a course in stochastic processes, that is, the study of random functions, or infinitely many random variables. We plan to cover much of Chapters 1-5 in Durrett's book, maybe part of Chapters 6 and 7, and possibly the basics on stochastic differential equations.

Textbook:   Richard Durrett, Probability: Theory and Examples, 2nd Edition, Duxbury Press, 1995.    (typo list)

Some Other Decent Books:
P. Billingsley, Probability and Measure, Wiley-Interscience, 1995.
L. Breiman, Probability, SIAM, 1992.
K.L. Chung, A Course in Probability Theory, Academic Press, 2001.
W. Feller, An Introduction to Probability Theory and its Applications, Vol II, Wiley, 1968.
A.N. Shiryayev, Probability, Springer Verlag, 1984.
D. Williams, Probability with Martingales, Cambridge University Press, 1991.

Prerequisites:   Some familiarity with real analysis and finitely many random variables, but not measure theory.

Consent of Instructor Required?:   No

First Day Handout:   Here

Homework:   Here

Exam:   Here

Prof. H. Koch

RLM 12.152

471-8183

Email: koch@math.utexas.edu

Homepage: http://www.math.utexas.edu/users/koch/