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Published by: Massachusetts Institute of Technology | Language: English
Published by: Massachusetts Institute of Technology | Language: English
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The class covers the analysis and modeling of stochastic processes. Topics include measure theoretic probability, martingales, filtration, and stopping theorems, elements of large deviations theory, Brownian motion and reflected Brownian motion, stochastic integration and Ito calculus and functional limit theorems. In addition, the class wi
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- management
- analysis
- modeling
- stochastic processes
- theoretic probability
- martingales
- filtration
- stopping theorems
- large deviations theory
- brownian motion
- reflected brownian motion
- stochastic integration
- ito calculus
- functional limit theorems
- applications
- finance theory
- insurance
- queueing
- inventory models
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