Professor Nicolai V. Krylov
Office: 225 Vincent Hall |

Spring 2008 Math 5654, Prediction and Filtering

Spring 2008 Math 8660, Controlled diffusion processes

Fall 2008 Math 8651, Theory of Probability Including Measure Theory

Fall 2009 Math 8659, Stochastic processes

Spring 2010 Math 5654, Prediction and Filtering

Fall 2010, Math 8659, Stochastic processes

Spring 2011 Math 5654, Prediction and Filtering

Spring 2012 Math 5654, Prediction and Filtering

Spring 2013, Theory of Probability Including Measure Theory, Math 8652

Fall 2013, Math 8659, Stochastic processes

Fall 2014, Math 8651, Theory of Probability Including Measure Theory

Spring 2015, Math 8652, Theory of Probability Including Measure Theory

Fall 2017, Math 8651, Theory of Probability Including Measure Theory

Spring 2019 Math 5654, Prediction and Filtering

Spring 2020, Math 5652, Introduction to Stochastic Processes

**Selected publications:**

A proof of the Doob-Meyer decomposition theorem pdf file

A generalization of the Littlewood-Paley inequality and some other results related to stochastic partial differential equations, Ulam Quarterly, Vol 2, No. 4 (1994) 16--26. pdf file

An analytic approach to SPDEs (pp. 185-242 in Stochastic Partial Differential Equations: Six Perspectives, Mathematical Surveys and Monographs, Vol. 64, AMS, Providence, RI, 1999), dvi file, ps file, pdf file

Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies (Electronic Journal of Probability, Vol.4 (1999), paper no. 2, 1-19) ps, dvi, and pdf files

A simple proof of a result of A. Novikov. ps, dvi, and pdf files

An undergraduate lecture on the CLT pdf file

Basics of harmonic polynomials and spherical functions pdf file

If I write a book (a) with newest Latex2e's (of which there are few around), or (b) with an older version of Latex

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