Birth-death processes; continuous-time Markov chains; functional central limit theorem; Brownian motion; weak solutions to stochastic differential equations; weak uniqueness; filtrations; discrete and continuous martingales; martingales problems; strong Markov property; Kolmogorov forward and backward equations; stationary distributions; null and positive recurrence; transience; particle filtering. Prerequisite: STAT 281 or STAT 371. Note: Credit cannot be obtained in MATH 471 if credit has already been in STAT 471.
Section | Capacity | Class times | Login to view Instructor(s) and Location |
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LECTURE A1
(58847) |
10 |
2025-09-02 - 2025-12-08 (MWF)
11:00 - 11:50
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