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M.S. in Applied Mathematics with a Specialization in Stochastic Computation

Some phenomena are only well modeled by incorporating uncertainty or randomness. Financial markets, weather, traffic, electrical power grids, and material properties are some areas particularly vulnerable to this phenomena. Solutions of such models are approximated by stochastic computation, which can yield the average, the variation, or the worst 10 percent scenario. Stochastic computation generally involves using random numbers to generate many possible scenarios and then computes summary statistics.

Students must take Math 540 or Math 475, or show evidence of taken a course in Probability equivalent to Math 475.

Required to take three of the following five courses:

  • Math 542 Stochastic Processes OR Math 543 Stochastic Analysis
  • Math 544 Stochastic Dynamics
  • Math 545 Stochastic Partial Differential Equations
  • Math 565 Monte Carlo Methods in Finance
  • Math 574 Bayesian Computational Statistics

Remaining Elective courses to be chosen in consultation with the academic advisor, or from the following list or any unused core/required courses listed above:

  • Math 522 Mathematical Modeling
  • Math 530 Applied and Computational Algebra
  • Math 546 Introduction to Time Series
  • Math 569 Statistical Learning
  • Math 573 Reliable Mathematical Software
  • Math 578 Computational Mathematics II
  • Math 589 Numerical Methods for Partial Differential Equations
  • CS 595 Advanced Scientific Computing

PLANS OF STUDY

Here we present a few plans of study for the various options in the MS program. Note that Math 593, a required course, is not listed below under the plans of study as it is a zero credit course offered every semester.

A Sample Course Sequence for the Specialization in Stochastic Computation with Thesis:

Fall - Year 1

Math 577
Math 540 or 475
Math 542 or Elective



3 credit hours
3 credit hours
3 credit hours

Spring - Year 1

Math 544 or Elective
Math 574 or Elective
Math 591



3 credit hours
3 credit hours
1-3 credit hours

Fall - Year 2

Math 542 or Elective
Math 565 or Elective
Math 591



3 credit hours
3 credit hours
1-3 credit hours

Spring - Year 2

Elective
Math 591



3 credit hours
1-3 credit hours
Total  32 credit hours