Fundamentals of statistical inference are presented and developed for models used in the modern analysis of financial data. Techniques are motivated by examples and developed in the context of applications. Crosslisted with ISYE 6783.
Continuous time Markov chains. Uniformization, transient and limiting behavior. Brownian motion and martingales. Optional sampling and convergence. Modeling of inventories, finance, flows in manufacturing and computer networks. (Also listed as ISyE 6762)
Iterative methods for linear and nonlinear systems of equations including Jacobi, G-S, SOR, CG, multigrid, fixed point methods, Newton quasi-Newton, updating, gradient methods. Crosslisted with CSE 6644.