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