Discrete Stochastic Processes

Course Description

The Poisson process. Compound Poisson process. Renewal processes. Asymptotic behaviour. Discrete time Markov chains. Analysis of the states of Markov chains.Stationary probabilities and its computation. Continuous time Markov chains. The Kolmogorov differential equations. Markov chains and queues. Classifications of queues. M/M/1 and M/M/c queue. M/G/1 and G/M/1 queue.

Study Programmes

Postgraduate doctoral study programme

Literature

Frank Beichelt (2006.), Stochastic Processes in Science, Engineering and Finance, CRC Press
Edward P. C. Kao (1996.), An Introduction to Stochastic Processes, Duxbury Press
Richard Serfozo (2009.), Basics of Applied Stochastic Processes, Springer Science & Business Media
Henk C. Tijms (2003.), A First Course in Stochastic Models, John Wiley and Sons

For students

General

ID 154934
  Winter semester
6 ECTS
L0 English Level