Syllabus Draft for MATH 573 

Applied Probability and Stochastic Processes


Books for Reference: 

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


Topics:

  - General info and examples of stochastic processes
  - Markov processes
  - Queues and renewal processes
  - Brownian motion
  - Stochastic Integrals and Ito Formula
  - SDEs and Diffusions