This is a 10-week lecture-based course focused on introducing stochastic processes and their applications. Throughout the course, we mainly take a continuous-time point of view and a large part of the course aims to cover useful classes of continuous-time stochastic processes including Poisson processes, renewal processes, birth-and-death processes, Brownian motion, diffusion processes, and geometric Brownian motion.
STAT498: Introduction to Stochastic Processes II (2021)
Check the Syllabus for detailed course plan.
Instructor: Fang Han (firstname.lastname@example.org)
TA: Hongjian Shi (email@example.com)
Lectures: MWF 11:30-12:20, in Zoom
Office hours: check the syllabus
Midterm: 02/10, take-home
Final: 03/12, take-home
Lecture note 1
Lecture note 2