Undergraduate Catalog

ISYE 432 Advanced Stochastic Processes

This course covers the analysis and modeling of stochastic processes. Topics include measure theoretic probability, martingales, renewal theory, elements of large deviations theory, Brownian motion, stochastic integration and Ito calculus and functional limit theorems. In addition, the course will go over some applications to finance engineering, insurance, queuing and inventory models.

Credits

3

Prerequisite

ISYE 331