CAP at Columbia University presents a mini-course by
Professor Peter Glynn, Stanford University.

Monday October 20-Tuesday November 11
Mondays and Tuesdays 2:30PM--4:00PM
Room : TBA

"Topics in Stochastic Modeling"

Professor Peter Glynn from Stanford University will give 8 lectures
covering some of each of the two topics below:

1. Parameter Estimation for Stochastic Processes: This concerns
 how one fits models to real data. Includes some discussion
 of parameter estimation for queues, continuous time Markov chains and
stochastic differential equations, and uses tools from the theory of Harris
recurrent Markov chains to analyze convergence
issues. Illustrating examples from queueing theory and
finance

 2. Simulation of Solutions of Stochastic Differential Equations:
First-order and second-order
schemes, computation of sensitivities, boundary conditions.