STEM / applied
Stochastic processes · Graduate · Math
Topics
Applications in finance and engineering
- Geometric Brownian motion and Black–Scholes (mathematical setup)
- Queueing theory and Markovian service models
- Filtering and Kalman filter (introduction)
- Monte Carlo simulation of SDEs
- Risk measures and value-at-risk (overview)
Computational and statistical methods
- Estimation for stochastic models (MLE, method of moments)
- Simulation of Markov chains and point processes
- Time series as stochastic processes (ARMA connection)
- Numerical methods for SDEs: Euler–Maruyama and Milstein
- Case studies in biology, physics, and operations research
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$1,162 · Stochastic processes · 18 tutoring hrs
Study guides, worksheets, reviews, practice tests, and answer keys for 1 class. 18 tutoring hours (1 hr / week · semester). Bundle discount applied vs buying separately. Pay in full via Zelle or Venmo.