401-3602-00L  Applied Stochastic Processes

SemesterSpring Semester 2021
LecturersV. Tassion
Periodicitytwo-yearly recurring course
Language of instructionEnglish



Courses

NumberTitleHoursLecturers
401-3602-00 VApplied Stochastic Processes3 hrs
Tue09-12IFW A 36 »
V. Tassion
401-3602-00 UApplied Stochastic Processes
Groups are selected in myStudies.
Thu 9-10 or Thu 12-13
1 hrs
Wed13-14HG E 33.1 »
Thu09-10LFW C 1 »
12-13HG G 26.5 »
V. Tassion

Catalogue data

AbstractPoisson processes; renewal processes; Markov chains in discrete and in continuous time; some applications.
ObjectiveStochastic processes are a way to describe and study the behaviour of systems that evolve in some random way. In this course, the evolution will be with respect to a scalar parameter interpreted as time, so that we discuss the temporal evolution of the system. We present several classes of stochastic processes, analyse their properties and behaviour and show by some examples how they can be used. The main emphasis is on theory; in that sense, "applied" should be understood to mean "applicable".
LiteratureR. N. Bhattacharya and E. C. Waymire, "Stochastic Processes with Applications", SIAM (2009), available online: http://epubs.siam.org/doi/book/10.1137/1.9780898718997
R. Durrett, "Essentials of Stochastic Processes", Springer (2012), available online: http://link.springer.com/book/10.1007/978-1-4614-3615-7/page/1
M. Lefebvre, "Applied Stochastic Processes", Springer (2007), available online: http://link.springer.com/book/10.1007/978-0-387-48976-6/page/1
S. I. Resnick, "Adventures in Stochastic Processes", Birkhäuser (2005)
Prerequisites / NoticePrerequisites are familiarity with (measure-theoretic) probability theory as it is treated in the course "Probability Theory" (401-3601-00L).

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits8 credits
ExaminersV. Tassion
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examinationoral 30 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

 
Main linkInformation
Only public learning materials are listed.

Groups

401-3602-00 UApplied Stochastic Processes
GroupsG-01
Thu09-10LFW C 1 »
G-02
Thu12-13HG G 26.5 »
G-03NOP
Wed13-14HG E 33.1 »

Restrictions

There are no additional restrictions for the registration.

Offered in

ProgrammeSectionType
Computational Biology and Bioinformatics MasterTheoryWInformation
Data Science MasterCore ElectivesWInformation
Mathematics BachelorCore Courses: Applied Mathematics and Further Appl.-Oriented FieldsWInformation
Mathematics MasterCore Courses: Applied Mathematics and Further Appl.-Oriented FieldsWInformation
Statistics MasterStatistical and Mathematical CoursesWInformation
Statistics MasterSubject Specific ElectivesWInformation