Stochastic Processes, 7.5 credits

Course Leader: Anders Grimvall
Phone: tel. +46-(0)13-28 14 82
E-mail: anders.grimvall@liu.se

Target group

Ph.D. candidates in statistics and other disciplines where knowledge of statistics is essential

Prerequisites

Graduate course in probability theory

Objectives

The course aims to make the student familiar with stochastic processes and modelling of temporal dependence

Contents

Markov chains
The Poisson process
Renewal theory
Brownian motion

Textbook

Ross, S.M. (2003). Introduction to Probability Models, 6th ed., Academic Press

Examination

Active participation in classes
Oral presentation of assignments from the textbook
Written examination testing the ability solve problems

Schedule

Start date: 20 Sep, 2004