Skip to main content

Applied Stochastic Processes for Statistics (440-0-20)


Wenxin Jiang
2006 Sheridan, Room 203/Department of Statistics

Meeting Info

Annenberg Hall G28: Tues, Thurs 2:00PM - 3:20PM

Overview of class

In this course, students are expected to learn statistical applications of stochastic processes. Topics may include Markov chains (e.g. with applications to MCMC convergence theory), martingales (e.g. with applications to survival analysis), Brownian motion (e.g. with applications to clinical trials / optimal stopping; Black-Scholes), other statistical applications. An integral part will be the student presentations on related topics.

Registration Requirements

Real analysis, Probability with measure (Stat 430-1,2), Statistics 420-1,2,3, some knowledge of functional analysis may also be helpful.

Teaching Method

Lectures and student presentations

Evaluation Method

Presentation of a related topic.

Class Materials (Required)

There is no standard textbook, but a collection of papers and references will be provided.