MATH 6380

Stochastic Processes

Every other year. Markov processes in discrete and continuous time, renewal theory, martingales, Brownian motion, branching processes, and stationary processes. Applications include queuing theory, performance evaluation of computer and communication systems and finance. Note: This course assumes that students have the equivalent of undergraduate-level coursework in linear algebra (e.g. MATH 3191) and ordinary differential equations (e.g. MATH 3200), along with undergraduate-level coursework in probability (e.g. MATH 4810). Term offered: fall of odd years.

Units: 3.0

Hours: 3 to 3