Stochastic Processes

Graduate

Stochastic processes. The Poisson process-relationship to exponential, Erlang and uniform probability distributions. Markov chains-basic limit theorem. Continuous time Markov chains - birth-and-death processes, time-dependent probabilities, limiting probabilities, relationship to the exponential distribution, uniformization. Renewal theory-limit theorems, renewal reward processes, regenerative processes, computing the renewal function. Brownian motion and stationary processes. (Prerequisite: Statistics INDE-4120 or equivalent.) (3 lecture hours a week.)