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Spring 2022 Industrial Engineering and Operations Research E4102 section 001
STOCHASTIC MODELING FOR MSE
STOCHASTIC MODELING FOR M

Call Number 12765
Day & Time
Location
MW 4:10pm-5:25pm
501 Schermerhorn Hall [SCH]
Points 3
Grading Mode Standard
Approvals Required None
Instructor Karl Sigman
Type LECTURE
Method of Instruction In-Person
Course Description Introduction to stochastic processes and models, with emphasis on applications to engineering and management; random walks, gambler’s ruin problem, Markov chains in both discrete and continuous time, Poisson processes, renewal processes, stopping times, Wald’s equation, binomial lattice model for pricing risky assets, simple option pricing; simulation of simple stochastic processes, Brownian motion, and geometric Brownian motion. A specialized version of IEOR E4106 for MSE students.
Web Site Vergil
Department Industrial Engineering and Operations Research
Enrollment 101 students (150 max) as of 8:03AM Saturday, June 25, 2022
Subject Industrial Engineering and Operations Research
Number E4102
Section 001
Division School of Engineering and Applied Science: Graduate
Campus Morningside
Section key 20221IEOR4102E001

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SIS update 06/25/22 08:03    web update 06/25/22 17:34