MATH 4740 - Stochastic Processes

(MQR)

Spring. 4 credits.

Prerequisites: MATH 4710, BTRY 3080, ORIE 3500, or ECON 3130 and some knowledge of matrices (multiplication and inverses). 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.

Staff.

A one-semester introduction to stochastic processes which develops the theory together with applications. The course will always cover Markov chains in discrete and continuous time and Poisson processes. Depending upon the interests of the instructor and the students, other topics may include queuing theory, martingales, Brownian motion, and option pricing.