401-3602-00L Applied Stochastic Processes

Semester	Spring Semester 2019
Lecturers	V. Tassion
Periodicity	two-yearly recurring course
Language of instruction	English

Courses

Number

Title

Hours

Lecturers

401-3602-00 V

Applied Stochastic Processes

3 hrs

Tue	10:15-12:00	HG D 5.2 »
Wed	13:15-14:00	HG G 3 »

401-3602-00 U

Applied Stochastic Processes

Thu 9-10 or Thu 12-13

1 hrs

Thu	09:15-10:00	HG D 7.2 »
	09:15-10:00	HG F 26.3 »
	12:15-13:00	HG D 7.2 »

Catalogue data

Abstract	Poisson processes; renewal processes; Markov chains in discrete and in continuous time; some applications.
Objective	Stochastic 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".
Literature	R. 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 / Notice	Prerequisites 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 credits	8 credits
Examiners	V. Tassion
Type	session examination
Language of examination	English
Repetition	The performance assessment is offered every session. Repetition possible without re-enrolling for the course unit.
Mode of examination	oral 30 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials


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Restrictions

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Offered in

Programme	Section	Type
Computational Biology and Bioinformatics Master	Theory	W
Data Science Master	Core Electives	W
Mathematics Bachelor	Core Courses: Applied Mathematics and Further Appl.-Oriented Fields	W
Mathematics Master	Core Courses: Applied Mathematics and Further Appl.-Oriented Fields	W
Statistics Master	Statistical and Mathematical Courses	W