Probability and Stochastic Processes II

3 Hours

Examine random walk and Brownian motion; renewal and regenerative processes; Markov processes; ergodic theory; continuous parameter martingales; stochastic differential equations; diffusions; stochastic control; and multidimensional stochastic models. Electrical and Computer Engineering 381M and Electrical Engineering 381M may not both be counted. Three lecture hours a week for one semester.