|Lecture (MTH 0407):||TuTh 3:30pm - 4:45pm. P. S. Krishnaprasad|
|Office Hours (AVW 2233):||M 2:00-5:00 pm (and by appointment)|
Special AnnouncementsLecture Notes 1 and Homework Assignment 1 posted. There is a mistake in the way I wrote problem 2 in the homework set. Here is what I wrote in reply to one of the students from the class. Please take note. "Sorry....I really meant to write the way I did in the actual lecture notes....I forgot to put the `d' in different places. -PSK ---------------- > Is the equation [in problem 2] for the innovation correct? In the notes you have: > > dy~ = dy - C x^ dt > > If you want y~ from this, we need to integrate, which would give a > different formula for y~ than what you gave in the homework problem #2. > Any help would be greatly appreciated. >"
Dynamical Theories of Brownian Motion by Edward Nelson, second edition, 2001. This downloadable version PDF form is available at Prof. Nelson' website.
ISR Distinguished Lecture series Fall 2004, D. Bertsekas (MIT) and B. Mishra (NYU) Click here for abstracts and schedules