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people:kargin:math573:start

Syllabus Draft for MATH 573

Applied Probability and Stochastic Processes

Books for Reference:

  1. N. C. van Kampen, Stochastic Processes in Physics and Chemistry.
  2. B. Oksendal, Stochastic Differential Equations, An Introduction with Applications

Topics:

  1. General info and examples of stochastic processes
  2. Markov processes
  3. Queues and renewal processes
  4. Brownian motion
  5. Stochastic Integrals and Ito Formula
  6. SDEs and Diffusions
people/kargin/math573/start.txt · Last modified: 2018/06/22 05:10 (external edit)