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  • PSTAT 160B

    • Applied Stochastic Processes . PSTAT 160B

    Continuous models. Continuous time stochastic processes: Poisson process, Markov chains, Renewal process, Brownian motion, including simulation of these processes. Applications to Black-Scholes model, insurance and ruin problems and related topics.

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    Prerequisites: PSTAT 120B and PSTAT 160A, both a grade of C or better

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