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ES_APPM 448: Numerical Methods for Random Processes

Description

Analysis and implementation of numerical methods for random processes: random number generators, Monte Carlo methods, Markov chains, stochastic differential equations, and applications.

Recommended texts:
1. Søren Asmussen and Peter W. Glynn, Stochastic simulation: algorithms and analysis
2. Zeev Schuss, Theory and applications of stochastic processes