MATH 4740

Stochastic Processes

Course Description

Course information provided by the Courses of Study 2023-2024.

A one-semester introduction to stochastic processes which develops the theory together with applications. The course will always cover Markov chains in discrete and continuous time and Poisson processes. Depending upon the interests of the instructor and the students, other topics may include queuing theory, martingales, Brownian motion, and option pricing.

When Offered Spring.

Prerequisites/Corequisites Prerequisite: MATH 4710, BTRY 3080/ILRST 3080/STSCI 3080, ORIE 3500, or ECON 3130 and linear algebra (MATH 2210, MATH 2230, MATH 2940, or equivalent).

Distribution Category (MQR-AS, SMR-AS)

Comments Students will be expected to be comfortable writing proofs. More experience with proofs may be gained by first taking a 3000-level MATH course. This course may be useful to graduate students in the biological sciences or other disciplines who encounter stochastic models in their work but who do not have the background for more advanced courses such as ORIE 6500.

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