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ES_APPM 448-0

Numerical Methods for Random Processes

1 Unit · Graduate

Analysis and implementation of numerical methods for random processes: random number generators, Monte Carlo methods, Markov processes, stochastic differential equations, and applications.

Prerequisites & course information

Prerequisite: ES_APPM 405-1 : Statistics and Data Science or permission of instructor. Recommended texts: 1. Søren Asmussen and Peter W. Glynn, Stochastic simulation: algorithms and analysis 2. Zeev Schuss, Theory and applications of stochastic processes.

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