Brownian motion, fall 2013

Lecturer

Juha Vuolle-Apiala

Scope

5 sp.

Type

Advanced studies

Prerequisites

Knowledge of probability theory, f.ex. the courses "Todennäköisyysteoria I" and "Todennäköisyysteoria II". The courses "Levy processes" and "Stokastiset prosessit" are useful.

Contents

The plan is to go through the central properties of d-dimensional Brownian motion. We will also consider the connection between Brownian motion and the classical potential theory, including the Laplace operator and harmonic functions.

Lectures

Weeks 36-42 and 44-50, Friday 12-14 in room B322.  A two-hour exercise class every second week.

Exams

Bibliography

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