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Northern Illinois University Course Info

Dekalb, Illinois

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STAT 483

Stochastic Processes I

Review of probabilistic tools including conditioning for joint distributions. Random sums. Finite-dimensional properties of discrete-time Markov chains. Homogeneous, and non-homogeneous, Poisson and compound Poisson processes. Thinning and summing of independent Poisson processes. Brownian motion processes. Introduction to the SDE and Itos lemma

Units: 4.0

Prerequisites:
STAT 470 - Introduction to Probability Theory