Search programme

​Use the search function to search amongst programmes at Chalmers. The study programme and the study programme syllabus relating to your studies are generally from the academic year you began your studies.

Syllabus for

Academic year
MVE330 - Stochastic processes  
 
Syllabus adopted 2015-02-11 by Head of Programme (or corresponding)
Owner: MPENM
7,5 Credits
Grading: TH - Five, Four, Three, Not passed
Education cycle: Second-cycle
Major subject: Mathematics
Department: 11 - MATHEMATICAL SCIENCES

This course round is given every other year. Is given 2015/2016 but not 2016/2017


Teaching language: English

Course module   Credit distribution   Examination dates
Sp1 Sp2 Sp3 Sp4 Summer course No Sp
0109 Examination 7,5 c Grading: TH   7,5 c   03 Jun 2016 am H   18 Aug 2016 am SB  

In programs

MPENM ENGINEERING MATHEMATICS AND COMPUTATIONAL SCIENCE, MSC PROGR, Year 2 (elective)

Examiner:

Professor  Serik Sagitov



  Go to Course Homepage

Eligibility:


In order to be eligible for a second cycle course the applicant needs to fulfil the general and specific entry requirements of the programme that owns the course. (If the second cycle course is owned by a first cycle programme, second cycle entry requirements apply.)
Exemption from the eligibility requirement: Applicants enrolled in a programme at Chalmers where the course is included in the study programme are exempted from fulfilling these requirements.

Course specific prerequisites

One of the courses:

MVE140 Foundations of probability theory

TMS110 Markov theory

MVE170 Basic Stochastic Processes

TMS125 Basic Stochastic Processes F

MVE135 Random Processes with Applications

Or a similar background: Contact the examinator for more information.

Aim

The course gives a solid knowledge of stochastic processes, intended to
be sufficient for applications in mathematical sciences as well as
natural sciences, at all levels. An advanced treatment of the theory of
stochastic processes relies on probability theory and mathematical
analysis. The purpose of the course is to give such a treatment. This
means that there is a certain focus on proofs and rigor.

Learning outcomes (after completion of the course the student should be able to)

The course gives a solid knowledge of stochastic processes, intended to be
sufficient for applications in mathematical sciences as well as natural
sciences, at all levels. An advanced treatment of stochastic processes
relies on probability theory and mathematical analysis. The purpose of the
course is to give such a treatment. This means that there is a certain
focus on proofs and rigour.

Content

Stationarity and weak stationarity. Gaussian processes. Renewal theory and queues.Martingales.

Organisation

Lectures. Reading assignments.

Literature

Grimmett G. and Stirzaker D.: Probability and Random Processes, Third
Edition 2001. Chapters 6 and 8-12.

Examination

Home assignments and/or a written final exam.


Page manager Published: Mon 28 Nov 2016.