ACMS 60860 - Stochastic Modeling

Institution:

University of Notre Dame

Subject:

Applied & Comp Math and Stats

Description:

This course gives an introduction to stochastic modeling and stochastic differential equations, with application to models from biology and finance. Some topics covered will be: stochastic versus deterministic models; Brownian motion and related processes, e.g., the Ornstein-Uhlenbeck Process; diffusion processes and stochastic differential equations; discrete and continuous Markov chain models with applications; the long run behavior of Markov chains; the Poisson processes with applications; and numerical methods for stochastic processes.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.nd.edu

Phone Number:

(574) 631-5000

Regional Accreditation:

North Central Association of Colleges and Schools

Calendar System:

Semester

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