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

75 / 75 Full

Applied Stochastic Processes

V. PALANIAPPAN 3.7

T R

18:30 PM - 19:45 PM

49.7% A