Stochastic processes

Unit Coordinator: DIMITRIOS TSAGKAROGIANNIS
Programme: Double Degrees
ECTS Credits: 6
Semester: 2
Year: 1
Campus: University of L'Aquila
Language: English
Aims:

Students should:
1. Develop the skills to model simple real problems and propose a solution;

2. Solve theoretical problems, using the appropriate mathematical tools;

3. Read the related texts and gain access to more advanced courses;

4. Get a Srst lavour of the relevant research problems.

Content:

1. Discrete time processes: Markov chains in finite and countable space, limiting distribution;

2. Continuous time processes: density and distribution of into-event time for Poisson process, applications and extensions: e.g. birth-and-death processes, queues, epidemics;

3. Renewal processes: ordinary renewal process, renewal theorem, equilibrium renewal process, application to queues;

4. Wiener processes and basic stochastic calculus: basic definitions and properties, It\^o's formula, Stochastic Differential Equations.

Pre-requisites:

Probability theory and Real Analysis

Reading list:

1. Markov Chains, J.R. Norris, Cambridge University Press;
2. Introduction to Stochastic Processes, G. Lawler, Chapman & Hall;
3. Basic Stochastic Processes, A Course Through Exercises, Z. Brzezniak and T. Zastawniak, Springer;
4. Probability and Random Processes, G. Grimmett and D. Stirzaker, 3rd Edition, Oxford University Press;
5. A Srst look at Rigorous Probability Theory, J. Rosenthal, World Scientific.


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