MAT733: Advanced Topics in Random Models 6 credits (40-20-0)

Objectives

To provide for each class of a process studied a construction of the process.

Contents

Brownian motion and variations on Brownian motion (light and heavy traffic approximations); General random walk: Wiener-Hopf decompositions; Consequences of the Wiener-Hopf factorization; Dual pairs of stopping times; Markov-additive processes of arrivals.