course time and room: 12:00-12:50am MWF, MSB 407

course web page:
http://www.math.uconn.edu/~teplyaev/math5161s09/

topics for presentations:

TOPICS from lecture notes Stochastic Processes, Spring 2008 by Rich Bass:
+15 Skorokhod embedding [Hugo Panzo]
-16 Finance models
+17 Black-Scholes formula [Lu Lu]
+18 The fundamental theorem of finance [Asiri Gunathilaka]
+28 One-dimensional diffusions
-29 Speed measures
-30 One dimensional diffusions and SDEs
-31 Boundaries
-32 Solving partial differential equations
-33 Poisson's equation
-34 Dirichlet problem
-35 Cauchy problem
-36 Schroedinger operators
-37 First order terms
-38 The Neumann and the oblique derivative problems

TOPICS from lecture notes Stochastic calculus for discontinuous processes by Rich Bass:
-Stochastic calculus for discontinuous processes
-Levy Processes

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Other possible topics:

-random orthogonal measures and stochastic integrals, possibly with applications to Winer and Ito integrals, and to Levy processes (Introduction to the Theory of Random Processes, Graduate Studies in Mathematics, by N. V. Krylov)

-Paley-Wiener and Skorokhod integrals (references can be provided)
-Basics of the Malliavin calculus (references can be provided)

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Alternatively, suggest your own topic:

+Weak Convergence [Timothy Wei]

+Feynman-Kac Formula [Xiaojing Wang]

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Course description follow this link

	http://www.math.uconn.edu