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Mar 28, 2024
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ORIE 6540 - [Advanced Stochastic Processes] Spring. Next offered 2015-2016. 3 credits.
Prerequisite: ORIE 6510 or equivalent.
Staff.
Topics include Brownian motion, martingales, Markov processes, and topics selected from: diffusions, stationary processes, point processes, weak convergence for stochastic processes and applications to diffusion approximations, Levy processes, regenerative phenomena, random walks, and stochastic integrals.
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