Advanced Stochastic Processes II:
Diffusion Processes and Stochastic Process Limits

Note: This is NOT the official course web-page, but rather an informative page about this course.

The official course web-page (UQ Semester 1, 2013) is here . The course coordinator is Patricia Menendez,

This course is designed to introduce diffusion processes as limits of stochastic processes arising in applied probability and queues. The course begins with a short introductory unit, motivating the analysis of stochastic processes of queues and illustrating how their limiting processes are diffusive. Followed by this, martingales Brownian motion and related diffusion processes are taught. At this point (about half way in the course), the students learn the functional central limit theorem for random walks and then move on to a variety of applications of stochastic process limits in queues and related processes. The stochastic process limits are mostly based on the continuous mapping theorem (a.k.a conventional "heavy traffic").

The stochastic process limits part of the course generally follows the book of Ward Whitt: Stochastic Processes Limits, 2002.

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