Professor Karl Sigman's 2006 Course Notes for IEOR 4701

These notes were used as the reading material for IEOR 4701 in 2006 by my colleague Professor Karl Sigman.

  1. Probability Review.

  2. Discrete-Time Markov Chains.

  3. Gambler's Ruin Problem.

  4. Binomial Lattice Model.

  5. More on Discrete-Time Markov Chains .

  6. Stopping Times.

  7. Martingales.

  8. The Poisson Process.

  9. Continuous-Time Markov Chains.

  10. Brownian Motion.

  11. Geometric Brownian Motion.