Introduction to Stochastic Processes II

4 credits

Introduces elementary continuous-time discrete/continuous-state stochastic processes and their applications. Covers useful classes of continuous-time stochastic processes (e.g., Poisson process, renewal processes, birth and birth-and-death processes, Brownian motion, diffusion processes, and geometric Brownian motion) and shows how useful they are for solving problems of practical interest. Prerequisite: a minimum grade of 2.0 in MATH 491/STAT 491. Offered: jointly with STAT 492.