Stochastic Processes

3 credits · Undergraduate Programs

Stochastic processes are fundamental to the study of mathematical finance, but are also of vital importance in many other areas, from neuroscience to electrical engineering. Topics to be covered: Elements of stochastic processes, Markov chains and processes, Renewal processes, Martingales (discrete and continuous times), Brownian motion, Branching processes, Stationary processes, Diffusion processes, The Feynman-Kac formula, Kolmogorov backward/forward equations, Dynkin's formula. Prerequisite(s): Statistics 323. Antirequisite(s): Credit for Mathematics 585 and Statistics 407 will not be allowed.