Course Outline
- Brief Introduction - deterministic vs. stochastic models
- Review of important concepts in probability theory
- What is a stochastic process; classification and examples
- Finite Markov Chains (discrete time)
- Countable Markov chains; random walks (discrete time)
- Continuous time Markov chains (CTMC); Poisson process;
birth-death process
- diffusion processes
- Brownian motion
- stochastic differential equations; connection to
diffusion processes
- first passage times; applications
- more topics to be added
Last Modified: Wednesday, 17-Aug-2005 13:26:21 CDT
by Charles Tier