Stochastic Modeling I

Host University

University of Virginia

Semester

Fall 2022

Course Number

SYS 6005

Discipline

Systems Engineering, Operations Research and Engineering Management

Instructor

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.

Prerequisites

APMA 3100, 3120, or equivalent background in applied probability and statistics