Introduction to Stochastic Processes

3 credits · Undergraduate Programs

Markov chains. Limit distributions for ergodic and absorbing chains. Classification of states, irreducibility. The Poisson process and its generalizations. Continuous-time Markov chains. Brownian motion and stationary processes. Renewal theory. Prerequisite(s): Statistics 321. Antirequisite(s): Credit for Statistics 407 and either 507 or Mathematics 585 will not be allowed.