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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


  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)