Stochastic Processes and Simulation I
In this course you will learn about stochastic processes, which are functions that develop over time in a partially random way. Note that this course is usually given in Swedish and you can find more information on the Swedish page.
A stochastic process means a function that develops itself over time in a partially random way, like, for example, the weather, the price of a share or the amount of waiting patients at a doctor's. We will study some important mathematical models for such functions, using both probability theory, and computer simulations.
To be eligible for the course, you must have knowledge equivalent to the course Probability Theory I.
Course content: The course covers conditional distribution and conditional expectation, Markov chains in discrete and continuous time, birth and death processes, the Poisson process and basic stochastical simulation.
The course consists of two elements, a theory part with a written examination, and computer exercises.
The education consists of lectures, exercises, and computer exercises. The course usually has two lectures a week, followed by an exercise session.
The theory part of the course, worth 6 credits, is assessed through a written examination, the grade is on a scale A-F. The computer exercises, worth 1.5 credits, are assessed though written reports handed in during the course. For more details, see the course page.
To pass the course you must pass both these parts. The final grade is decided by the grade on the written exam.
A list of examiners can be found on
Ross: Introduction to probability models. Academic Press.
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We do not use Athena, you can find our course webpages on kurser.math.su.se.
