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MAM072 Random Processes 6.0 ECTS credits | |
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TIMEPERIOD: LANGUAGE:English/Swedish EXAMINER Reinhold Näslund Univ adj PREREQUISITES COURSE AIM Many physical or economic systems develop in time. This means that the current state of a system does depend on its history, and the future depends on the present state. Stochastic processes are a mathematical tool for modelling the developement of a system in time. In this course we will give a survey on/about different stochastic processes and the methods used to investigate them. CONTENTS Random variables and functions of random variables. Conditional distributions. Transform methods. Stochastic processes: examples and applications. Markov chains and Markov processes. Poisson processes. Birth- and death processes. Applications on Quee systems. TEACHING The teaching consists of of lectures and computer exercises. Some lectures can be replaced by mandatory computer laborations. EXAMINATION A written examination at the end of the course. COURSE GRADE SCALE: ITEMS/CREDITS | |
| Written exam | 6.00ECTS |
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COURSE LITERATURE G. Lindgren, T. Rydén: Markovprocesser, kompendium Lunds universitet och Lunds tekniska högskola, 1997 eller senare. Kompletterande kursmaterial. Course information from the department: http://www.sm.luth.se/math/education/ |
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