40.306 Applied Stochastic Processes
This is a follow-up to the introduction course on Modelling Uncertainty and Probability and Statistics. Students learn advanced methods in stochastic modeling with a focus on business, engineering and financial math applications. Topics to be covered include renewal theory and martingales (discrete time). Time permitting other topics such as Brownian motion.
Learning objectives
On successful completion of this course, students should be able to
- Apply the technique of Martingale in finance and renewal theory in operations management.
- Apply the technique of standard stochastic processes (random walks) in financial mathematics, insurance models and queueing/inventory models.
Measurable outcomes
On successful completion of this course, students will be adept in the following.
- Show the examples of Martingale, Renewal Processes, general counting processes and random walks.
- Construct or develop a stochastic model using these concepts.
- Identify and solve engineering problems involving these concepts.
- Analyze the concepts in a broader context of probability theory.
Prerequisites
Course instructor
Number of credits: 12