CME 298: Probability and Stochastic Differential Equations for Applications (MATH 158)

Course Description

Calculus of random variables and their distributions with applications. Review of limit theorems of probability and their application to statistical estimation and basic Monte Carlo methods. Introduction to Markov chains, random walks, Brownian motion and basic stochastic differential equations with some applications in science and/or engineering. Prerequisites: Math 53 and either Math 151, Stats 117 or equivalent level of probability knowledge.