Math 623- Advanced Probability (Fall 2023)

Instructor: Xia Chen

Office: Ayres 241, 974-4284.

Email: xchen@math.utk.edu

Website: http://www.math.utk.edu/~xchen

Class: TR 11:20a.m.-12:35p.m. Ayres G013

Office Hours: TR 9:00-10:00pm.

Textbook:
Brownian motion-- A Guide to Random Processes and Stochastic Calculus By Rene L. Schilling (2021) (3th edtion)

Reference Books:
Continuous martingales and Brownian motion. By Daniel Revuz and Marc Yor (1991)

Brownian Motion. By Peter Morters and Yuval Peres (2010)

Course Description:
The topic for the school year 2023-2024 is “Brownian motion”. The text book is “Brownian motion--- a guide to random processes and stochastic calculus” by Rene L. Schilling (2021). As a single most important stochastic process, Brownian motion appears as intersection of three fundamental classes of stochastic processes: martingales, Gaussian processes and Markov processes. Brownian motion is named after the botanist Robert Brown, who first described the phenomenon in 1827, while looking through a microscope at pollen of the plant Clarkia pulchella immersed in water. Since then, Brownian motion has been in the center of the investigation for both mathematicians and the people in many other disciplines. Its fascinating link to the partial differential equations and harmonic analysis symbols the modern day of probability. As the scaling limit of the random walks and Lévy processes, Brownian motion serves a bridge between analysis and some hard problems of discrete structure. Its central role in mathematics is also matched by numerous applications in science, engineering and mathematical finance. This course aims to provide a systematic account for the subject of Brownian motions and to develop the basic tools known as stochastic analysis. This course is designed for students who finished Math523-524 or any other equivalent courses on probability at graduate level, and who are interested in probability or its applications. If the situation allowed, we will continue on the same topic in Spring, 2023 (Math 624).

Grading policy:
There will be no tests and exams. Your performance in the classroom (50%) and in homework (50%) will decide the grade you receive.

Prerequisite:
Officially, it requires Math523-524 (probability at graduate level) or equivalent. If you are not sure whether or not this course is right for you, please stop by and discuss it with me


Homework #1 (Due: Thursday, Sept. 14)
Chapter 2: 1, 8, 16, 17, 18, 22, 24, 26

Solution to Homework #1 (pdf)

Homework #2 (Due: Tuesday, Oct. 3)
Chapter 5: 5, 6, 10, 11, 20,21, 22.

Solution to Homework #2 (pdf)

Homework #3 (Due: Thursday, Oct. 26)
Chapter 6: 1, 5, 8, 11, 12, 15, 16.

Solution to Homework #3 (pdf)

Homework #4
Chapter 7: 3, 6, 13, 14, 18, 19. Chapter 8: 2, 5, 6, 7.

Solution to Homework #4 (pdf)