Stochastic Processes III
The course widens and puts into a more general framework, stochastic process theory learnt from Stochastic Processes I and II. Compared to previous courses in Stochastic Processes, more focus will be on mathematical rigour. Topics included are:
- Point process theory, specifically the Poisson process;
- Markov processes in continuous time;
- Brownian motion;
- Various applications, in particular from queueing theory.
Lecturer Daniel Ahlberg
Sidney I. Resnick: Adventures in Stochastic Processes (Birkhäuser)
The book is available electronically via the university library here.
Time and date
The preliminary schedule for the lectures is given here.
It is good to read the material from the textbook before each lecture.
The course will be evaluated through a written exam. Apart from the written exam there will be a number of hand-in assignments throughout the course.