Introduction to Stochastic Processes,
Gregory F. Lawler, Second Edition, Chapman & Hall, New York, 2006.
Course Description:
This is the continuation to
5040-1.
Topics include martingales, renewal theory, advanced Markov chains,
Brownian motion, and elements of stochastic calculus.
Grading:
Weekly assignments (50% total); one midterm (25%);
and one final exam (25%).