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