Stochastic Processes

Catalog description

A one-semester introduction to stochastic processes which develops the theory together with applications. Covers Markov chains in discrete and continuous time and Poisson processes. Other topics may include queuing theory, martingales, Brownian motion, and option pricing. This course may be useful to graduate students in the biological sciences or other disciplines who encounter stochastic models in their work but who do not have the background for more advanced courses such as ORIE 6500 . Students will be expected to be comfortable writing proofs. More experience with proofs may be gained by first taking a 3000-level MATH course.