PSTAT 160B - Applied Stochastic Processes

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.

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

PSTAT 160B

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Applied Stochastic Processes

V. PALANIAPPAN 3.5

M T W R

08:00 AM - 09:05 AM

48.4% A