Spring 2023 Industrial Engineering and Operations Research E4102 section 001

STOCHASTIC MODELING FOR MSE

STOCHASTIC MODELING FOR M

Call Number 11243
Day & Time
Location
MW 10:10am-11:25am
CIN ALFRED LERNE
Points 3
Grading Mode Standard
Approvals Required None
Instructor Kaizheng Wang
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 103 students (110 max) as of 9:05PM Thursday, March 28, 2024
Subject Industrial Engineering and Operations Research
Number E4102
Section 001
Division School of Engineering and Applied Science: Graduate
Open To Engineering:Graduate
Campus Morningside
Section key 20231IEOR4102E001