Date & Time: August 05-07, 2014, 11:30-12:30.
Venue: Room 216

Title: Brownian Process - IV, V, VI

Speaker: Krishna B. Athreya, Iowa State University

Abstract: Definition, existence, Donsker's theorem, reflection principle (via strong Markov property) and level crossing lemma, three basic martingales (linear, quadratic and exponential) in BM, general Brownian motion and the Black-Scholes formula, Ito integral, Martingale problem, Boundary Crossing, past and future of SBM given the present.