CSE X94 CSE 394 Topics in Probability and Statistics 3 Hours
3 Lecture Hours 0 Lab Hours
Advanced topics in the theory and application of probability and statistics. Recent topics include nonparametric statistics and advanced probability. Three lecture hours a week for one semester.
Pre/Corequisites: Graduate standing and consent of instructor.
Grading: Student Option
Repeatable for credit: May be repeated for credit when the topics vary.
Academic Level: Doctoral
Topic 1: Stochastic Processes I. Study Ito-diffusion processes, stochastic calculus, and stochastic integration. Explore stochastic differential equations and their connection to classical analysis. Discuss an introduction to optimal stochastic control of diffusion processes, the Hamilton-Jacobi-Bellman equation (classical and viscosity solutions), singular stochastic control, and linear filtering. Present applications, mainly from mathematical finance, inventory theory, decision analysis, and insurance. Examine brief overview of multi-scale problems in stochastic analysis. Computational Science, Engineering, and Mathematics 394 (Topic: Stochastic Processes I) and 394 (Topic 1) may not both be counted.