Brownian Motion and Stochastic Calculus 
MWF 11:30 -- 12:20 , 117 Eckhart
Greg Lawler , 415 Eckhart,
e-mail: lawler at

This is an introduction to Brownian motion and stochastic calculus for students who know measure theory and have some exposure to measure theoretic probability. The normal prerequisites are either Math 312 or Stat 381/383, however any student who feels qualified to handle the material may enroll.

There will be regular problems sets throughout the term as well as one large problem set to be done during the week of May 24. (There will be no class that week.) This large problem set, which will take the place of a final exam for the course, must be individual work. You may discuss other problem sets with students.

There are no texts for the course. Recommended books include

Moerters and Peres, Brownian motion. (Unfortunately, this book has not been published yet. It will be published by Cambridge University Press. There are preliminary electronic versions floating around.)

See Steve Lalley web page for other references as well. I particular recommend the lecture note "Ito Integral".

Problem Set 1 (due Wed, April 7)
Problem Set 2 (due Wed, April 14)
Problem Set 3 (due Wed, April 21)
Problem Set 4 (due Wed, April 28)
Problem Set 5 (due Wed, May 5) (revised May 3)
Problem Set 6 (due Wed, May 12)
Problem Set 7 (due Wed, May 19) (corrected May 17 --- sign changed on Problem 2)