Syllabus for Roster(s):

  • 17Sp APMA 4501-001 (ENGR)
In the UVaCollab course site:   17Sp APMA 4501

Course Description (for SIS)

Stochastic Models for Engineers and Scientists.

The course is focused on applications of stochastic processes and will use mainly numerical simulations to investigate properties of models.

Topics

Discrete Time Markov Chains
Poisson Processes
Continuous time Markov Chains
Queueing models
Martingales
Brownian motion & diffusion processes [Feynman-Kac & Black-Scholes formula]
MonteCarlo MarkovChains