[944] Midterm

[Gautam Iyer via mscf-944]

Dear All,

A quick reminder: Your midterm will be Thu February 7th, in class. It
will cover everything up to and including Itô's formula. (I will finish
this up in class Thursday and only do examples / review before the
midterm).

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.

In order for you to have practice, and feedback I am going to do the
following:

    1. HW 3 will be due early (on Tuesday 2/5, 2:45), and not at the
       usual time on Thursday. This homework contains lots of Itô formula
       practice, and will help you for the midterm. (I will post
       solutions to HW3 on Tuesday 2/5 -- and consequently, HW3 will not
       be accepted late.)

    2. 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.)

    3. We will try and have extra office hours for the above. I will
       check to see if David is free sometime on Monday for an extra
       office hour; and I will try and schedule one office hour myself
       (in the usual room) which is telecast/recorded.

In previous years many students underestimated the midterm and ended 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.