Catalogue 2017 - 2018

MATH 405 Applied Stochastic Processes

Credits

3 cr.

Prerequisite

MATH 372

Corequisite

MATH 236 and MATH 306 are pre- or co-requisites

Course Description

An introduction to stochastic processes including Markov chains, Poisson processes, continuous-time Markov chains, Brownian motion, stationary processes, and simulation. Some emphasis is placed on computation and on applications to financial mathematics.

Offered

every other fall

Fee