Math 645
Advanced Stochastic Processes
Instructor: Alex Roitershtein
Iowa State University
Department of Mathematics
Spring 2014
Midterm exam
Solutions to the sample.
1 [20 points]
(a) Solve Exercise 4.8 in Klebaners text.
(b) Solve Exercise 4.10 in Kleba
Math 645
Advanced Stochastic Processes
Instructor: Alex Roitershtein
Iowa State University
Department of Mathematics
Spring 2014
Homework #2
Solutions
(n)
1. Give an example of a sequence of processes (Xt )0tT , n Z, which converges in probability
but doe
Math 645
Advanced Stochastic Processes
Instructor: Alex Roitershtein
Iowa State University
Department of Mathematics
Spring 2014
Homework #1
Solutions
1. Given 0 < s < t < 1, compute the probability that standard Brownian motion has at
least one zero in t
Math 645
Advanced Stochastic Processes
Instructor: Alex Roitershtein
Iowa State University
Department of Mathematics
Spring 2014
Midterm exam
Due date: Wed, April 9 by noon.
1 [20 points]
(a) Solve Exercise 4.7 in Klebaners text.
(b) Solve Exercise 4.9 in
Math 645
Advanced Stochastic Processes
Instructor: Alex Roitershtein
Iowa State University
Department of Mathematics
Spring 2014
Midterm exam
Sample.
1 [20 points]
(a) Solve Exercise 4.8 in Klebaners text.
(b) Solve Exercise 4.10 in Klebaners text.
2 [20
Math 645
Advanced Stochastic Processes
Instructor: Alex Roitershtein
Iowa State University
Department of Mathematics
Spring 2014
Home work # 3
Solutions.
1. Use the law of iterated logarithm (Theorem 3.31 in Klebaners text) and the lemma
from the solution