Math 880: Advanced Stochastic Calculus

Gautam Iyer

Office: WEH 6121.


Contacting me by email

For mathematical email queries other than minor clarifications or typos on the homework, I request you come speak to me in person instead of sending me an email. Mathematics is not easily expressed via email, and a physical in person conversation will be a lot more productive.

For minor clarifications, typos on the homework, and logistical queries, my email address is: (replace "NoSPAM" with "cmu")

(Please get the numbers and the plus sign correct, as that will ensure that your email goes to my course folder.) I don't always check email in the evenings, so if you send me a desperate question about the homework at the 11th hour, then you're on your own.

Anonymous feedback?

Anonymous feedback

Feedback at any time (either anonymous or signed) is always appreciated. You can use this form to send me (or your course assistant) anonymous (or signed) feedback.

Note: Unfortunately, evil spammers have used this form to clutter my INBOX. Thus I have restricted access to this form to within domain. Any inconvenience caused is regretted.

Syllabus and course description

This is an advanced Stochastic Calculus course aimed at Mathematics Ph.D. students. This course will present a rigorous, no holds barred, treatment of all the technicalities involved, and will expect the same level of work from the students. Undergraduates taking this course will be held to the same standard as graduate students.

A detailed list of topics, pre-requisites, and references can be found here.

Course info
Lectures MW 3:30--4:50 in WEH 8201
On a some days I might have to end class at 4:20 because to avoid conflicts with faculty meetings. To make up, there will be an extra class on Fri Sep 7 at 3:30pm.
Office Hours Fridays 1:30--2:20.
Mailing list math-880?
Mailing list

I will use this mailing list for all announcements regarding this course. These usually contain information about class, homework and/or exams, and I strongly recommend all students join this mailing list. I will NOT use BlackBoard.

Any student who is registered for this course on the first day of class will be automatically subscribed this mailing list. If you register for the course at a later time, you should join this mailing list yourself, by visiting the mailing list website (linked above). You may read any announcements you might have missed on the list archives. You may also post to this list to contact your classmates about class related issues. (Posters promoting frat parties, girl scout cookies, or any non-class related agenda will be penalized severely.)

Please note that the mailing list website also contains instructions on how to un-subscribe yourself! If you drop this course, you should follow these instructions and un-subscribe yourself from this list. Since an easy, clearly listed, un-subscription procedure exists, any emails requesting me to add/remove you from this list will be ignored.

Midterm 1 Wed, Oct 17 (Closed book, in class.)
Final Mon Dec 17, 1:00--4:00PM in WEH 8427.

Midterm: 37.5%, Final: 62.5%. Approximately 20--40% of each exam will consist of questions that appeared on the homework.

Class policies


Last Modified: Sat 16 Jan 2016 02:18:11 PM EST