Stochastic Modeling: Fundamentals

The course introduces the fundamental knowledge in probability models, stochastic processes, and their applications. Fundamental concepts include discrete and continuous distributions, transforms, stochastic orders, counting processes, discrete- and continuous-time Markov chains, and queueing theory. Applications in operations management include inspection and reward problems, queueing networks, optimization in queueing. Applications in other fields include pricing and analysis of financial assets, insurance policies, and warranties. In addition to mathematical analysis, students will analyze stochastic models numerically using appropriate software.

Fall, Spring

031726