STAT-UB 21 / STAT-GB 3321 Introduction to Stochastic Processes

Term: Spring 2023
Instructor: Dr. Halina Frydman
Level: Undergraduate / Graduate

Topics

Discrete time Markov chains; Continuous time Markov chains; Discrete time martingales; Brownian motion and its generalizations; Elements of stochastic calculus

Description

This is an introductory course in stochastic processes. The course covers the theory of discrete and continuous Markov chains, martingales and Brownian motion and its generalizations. The discussion of Markov chains includes statistical aspects of these processes. If time permits, the stochastic integration and the rules of stochastic calculus are developed. The objective of the course is for you to learn about basic classes of stochastic processes and their applications.