ORIE 6540 - [Advanced Stochastic Processes]

Fall. Next Offered: 2020-2021. 3 credits. Student option grading.

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.