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.
Stochastic Modeling I
University of Virginia
Systems Engineering, Operations Research and Engineering Management
APMA 3100, 3120, or equivalent background in applied probability and statistics