Professor Jose Blanchet joined the IEOR Department in 2008, he received his Ph.D. in Management Science and Engineering from Stanford University in 2004. Prior to joining Columbia he was a faculty member in the Statistics Department at Harvard University, where he taught for nearly four years....
IEORE6711 Stochastic models, I
Instructor: Jose Blanchet
Additional Information: IEOR_E6711_fall2013_Syllabus.pdf
4.5 pts. Refer to course syllabus. This is the first course in a two-course sequence introducing students to the theory of stochastic processes. The fall term starts with a review of probability theory and then treats Poisson processes, renewal processes, discrete-time Markov chains and continuous-time Markov chains. The spring term emphasizes martingales and Brownian motion. Although the course does not assume knowledge of measure theory or measure-theoretic probability, the focus is on the mathematics. Proofs are emphasized. This course sequence is intended for our first-year doctoral students. Indeed, one of the two qualifying exams at the end of the first year covers the material taught in this course sequence. The course is intended to provide students background, so that they will be able to effectively conduct research.