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Course: STAT 31521=CAAM 31521
Title: Applied Stochastic Processes
Instructor(s): Jonathan Weare
Class Schedule: Sec 01: MWF 1:30–2:20 PM in Pick 022
Office Hours:  
Description: This course concerns the estimation of the dynamic properties of time-dependent stochastic systems. The class will begin with an introduction to the numerical simulation of continuous time Markov processes including the discretization of stochastic (and ordinary) differential equations. Problems associated with multiple time scales will be discussed along with methods to address them (implicit discretizations, multiscale methods and dimensional reduction). The class will also cover interacting particle methods and other techniques for the efficient simulation of dynamical rare events.

Prerequisite(s): Multivariate calculus and linear algebra