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Problems in Brownian motion (Fall 2011)Mon 11:00  12:30, in N25About the course: This is an (unofficial) first course in Brownian motion, but there will be no lectures. The course will be entirely devoted to solving problems (by students) and reading up on whatever concepts are needed to solve them. I shall select topics and problems and comment on solutions. Everyone who attends will be expected to attempt most problems and present solutions to many in the weekly meetings. The list of problems from the book of Mörters and Peres can form the backbone but we shall also borrow from Durrett and Karatzas & Shreve and elsewhere. There are no credits for this course. The basic idea is that in a usual course, one spends classtime on the big picture and theorems, and expects that students will practise solving problems by himself/herself. In contrast, here we shall only discuss problems, their solutions and techniques, and leave the reading to the student. The book of Pólya and Szegö is a model for how far one can go this way. A course in measure theoretical probability is a necessary and sufficient prerequisite. Tentative list of topics:
Weekly progress:
