Stochastic process

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Controlled Stochastic Processes

Explores controlled stochastic processes, dynamic programming, and the Machine Replacement Problem.

Asset Selling: Optimal Revenue Policy

Explores asset selling dynamics, optimal revenue policy, acceptance thresholds, and commodity price impact.

Response Theory and Phase Transitions

Explores response theory, phase transitions, and fluctuations in weakly interacting systems, including stochastic particles and opinion formation models.

Stochastic Games on Directed Networks

Covers linear-quadratic stochastic differential games on directed chain networks and open-loop Nash equilibria.

Fokker-Planck Equation: Derivations and Applications

Explores the derivation of the Fokker-Planck equation and its applications in stochastic differential equations.

Stochastic Simulation: Variance Reduction Techniques

Covers stochastic simulation and variance reduction techniques, focusing on Courra variate and auxiliary distribution generation.

Stochastic Models for Communications

Covers stochastic models for communications, focusing on random variables, Markov chains, Poisson processes, and probability calculations.

Stochastic Models for Communications: M/G/infinity Queue

Explores the M/G/infinity queue model for systems with infinite capacity and general service times.

Stochastic Models for Communications: Continuous-Time Stochastic Processes Examples 4-5

Covers examples of continuous-time stochastic processes in communication systems.

Applied Probability and Stochastic Processes: Tutorial 02

Covers communicating classes, hitting time, probabilities, and the Gambler's Ruin Model in stochastic processes.