Stochastic Processes and Models
Oxford University Press, 2005
Professor: Bill Peterson, Department of Mathematics, Middlebury College
Office: 313 Warner Hall, ext 5417
Hours: Mon/Wed 2:45-3:45, Tues 1:45-3:00, Fri 10:00-11:00
Stochastic processes are mathematical models for random phenomena evolving in time or space. This course will introduce important examples of such models, including random walk, branching processes, the Poisson process and Brownian motion. The theory of Markov chains in discrete and continuous time will be developed as a unifying theme. Depending on time available and interests of the class, applications will be selected from the following areas: queueing systems, mathematical finance (Black-Scholes options pricing), probabilistic algorithms, and Monte Carlo simulation. (prerequisite: MATH 0310)
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| David Stirzaker Stochastic Processes and Models Oxford University Press, 2005 |