Markov Chains, Martingales, Brownian Motions

This course discusses three of the most important types of stochastic processes: Markov chains (in both discrete and continuous time), martingales (the mathematical model of “fair games”), and Brownian motion (random continuous motion). Applications will include random walk, queueing theory, and branching processes, and may also include other areas such as optimal stopping or stochastic integration.