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MTH 500

Introduction to Stochastic Processes

Topics include: Measure and probability. Conditional expectation. Discrete time martingales. Markov Processes. Martingales in continuous time and Brownian motion. Stochastic integration and introduction to stochastic differential equations. Poisson process.
Weekly Contact: Lecture:3 hrs.
GPA Weight: 1.00
Course Count: 1.00
Billing Units: 1

Prerequisites

MTH 404 or MTH 480 or ECN 702

Antirequisites

None

Co-Requisites

None

Custom Requisites

None

Mathematics