[944] Midterm

[Gautam Iyer via mscf-944]

Dear All,

A quick reminder: Your midterm will be Mon, Nov 20th, in class. It will
cover everything up to and including Itô's formula. (I will finish this
up in class tomorrow and only do examples / review before the midterm).
I will also have "office hours" (recorded / live telecast) on Saturday
Nov 18th at 2:30PM instead of by "11th hour" office hours on Mon Nov
20th.

The exam will focus on 

    1. Conditional expectations

    2. Brownian motion
    
    3. Martingales

    4. Quadratic variation
    
    5. Itô's formula.

It might include questions on other things (e.g. sub/super martingales,
measurability, random variables, expectation, independence, etc.), but,
with very high probability, it will include at least one question on
each of numbered points above.

I put up a few previous midterms and solutions online. For the older
midterms, the course was taught by a different instructor and I put up
the only files I have access to. For the last time I taught this course,
I put up the midterm and solutions in separate files. I STRONGLY
recommend you DO NOT look at the solutions, and try the problems
yourself first, and finally compare your answer with the solutions.
(Q3(b) on the 2016 midterm covers something we we haven't done, so you
can skip that if you can't make sense of it.)

In previous years many students underestimated the midterm and end up
doing badly on it. I hope my email is sufficient warning that you won't
fall for the same trap. Remember that your midterm is closed book, and
you aren't allowed phones, calculators, watches etc. I strongly
recommend you practice for your exam accordingly. (As a word of caution:
previous years exams are always easier when attempted in the comfort of
your own room.)

Best,

Gautam

-- 
They say hard work never hurt anybody, but why take the chance.