PSTATW 160A - Applied Stochastic Processes

Discrete probability models. Review of discrete and continuous probability. Conditional expectations. Simulation techniques for random variables. Discrete time stochastic processes: random walks and Markov chains with applications to Monte Carlo simulation and mathematical finance. Introduction to Poisson process.

Prerequisites: Mathematics 4A or 4AI or 5A, Mathematics 8 or PSTAT 8, and PSTAT 120A. A minimum letter grade of C or better must be earned in each course.

PSTATW 160A

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Applied Stochastic Processes

Tomoyuki Ichiba 3.7

M

09:30 AM - 10:35 AM

59.6% A