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Course Description

Topics include: Conditional expectation. Markov chains. Poisson process and Compound Poisson process. Continuous-time Markov processes. Discrete-time martingales. Continuous-time martingales. Brownian motion. Stochastic integration and introduction to stochastic differential equations.

Sample Course Outline

Sample Classroom Course Outline

Requisites

Prerequisite: CMTH 404 or CMTH 480 or CECN 702
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Course Sections

Class Number
6239
Type
LEC
Days
T
Time
6:30PM to 9:30PM
Dates
Jan 14, 2020 to Apr 14, 2020
Schedule
Contact Hours
3.0
Location
  • Downtown
Delivery Options
Classroom  
Fees
Domestic Fee non-credit $599.65 Click here to get more information
International Fee non-credit $0.00 Click here to get more information
Class Number
1602
Type
LEC
Days
M, W
Time
6:00PM to 9:00PM
Dates
May 04, 2020 to Jun 17, 2020
Schedule
Contact Hours
39.0
Location
  • Downtown
Delivery Options
Classroom  
Fees
Domestic Fee non-credit $599.65 Click here to get more information
International Fee non-credit $0.00 Click here to get more information