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高级随机过程（MIT）15.070J Advanced Stochastic Processes (MIT) |
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| 课程网址: | http://ocw.mit.edu/courses/sloan-school-of-management/15-070j-adv... |
| 主讲教师: | David Gamarnik |
| 开课单位: | 麻省理工学院 |
| 开课时间: | 2013-09-27 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | This class covers the analysis and modeling of stochastic processes. Topics include measure theoretic probability, martingales, filtration, and stopping theorems, elements of large deviations theory, Brownian motion and reflected Brownian motion, stochastic integration and Ito calculus and functional limit theorems. In addition, the class will go over some applications to finance theory, insurance, queueing and inventory models. |
| 关 键 词: | 分析; 建模; 理论可能性 |
| 课程来源: | MIT Course |
| 最后编审: | 2020-06-12：王勇彬(课程编辑志愿者) |
| 阅读次数: | 402 |