Introduction to Stochastic Processes

3 Units

This course is an introduction to the theory of stochastic processes. Topics covered include discrete time Markov chains and key properties such as recurrence, ergodicity, stationary measures, and mixing; Poisson processes; Renewal processes; generalization to continuous time Markov processes; and a brief treatment of Martingales. Selected applications of these topics to the physical and life sciences and finance. Offered as MATH 437 and STAT 437 . Prereq: STAT 301 or STAT 312 or STAT 332 or STAT 445 or MATH 380 or Requisites Not Met permission.