Stochastic Modeling I

Host University

University of Virginia


Spring 2023


Systems Engineering, Operations Research and Engineering Management


Tariq Iqbal

Course Information

Covers basic stochastic processes with emphasis on model building and probabilistic reasoning. The approach is non-measure theoretic but otherwise rigorous. Topics include a review of elementary probability theory with particular attention to conditional expectations; Markov chains; optimal stopping; renewal theory and the Poisson process; martingales. Applications are considered in reliability theory, inventory theory, and queuing systems.