[944] HW3, Lecture tomorrow, and Midterm

[Gautam Iyer via mscf-944]

Dear All,

For the lecture tomorrow, I would like to finish Itô's formula. There is
a small chance I will need 10 more minutes than the required time to
finish this. So if you have a conflict, feel free to leave when you
need to -- the recording will be online.

A quick reminder: your midterm will be Thu February 6th, 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 (to be done tomorrow)

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 2/4, 3:00PM), 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. The
       midterm and solutions are 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.

In previous years many students underestimated the midterm and ended up
doing badly on it. Most of the time they find that the questions from
previous years midterms are easy. My guess is because they have tried
these questions with hints / references / your math guru / the internet
readily available. 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.

Best,

Gautam

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