Course syllabus for Stochastic processes

The course syllabus contains changes
See changes

Course syllabus adopted 2021-02-12 by Head of Programme (or corresponding).

Overview

  • Swedish nameStokastiska processer
  • CodeMVE330
  • Credits7.5 Credits
  • OwnerMPENM
  • Education cycleSecond-cycle
  • Main field of studyMathematics
  • DepartmentMATHEMATICAL SCIENCES
  • GradingTH - Pass with distinction (5), Pass with credit (4), Pass (3), Fail

Course round 1

  • Teaching language English
  • Application code 20117
  • Open for exchange studentsNo

Credit distribution

0109 Examination 7.5 c
Grading: TH		 7.5 c
  • 03 Jun 2022 am J
  • Contact examiner
  • 15 Aug 2022 pm J

In programmes

Examiner

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Eligibility

General entry requirements for Master's level (second cycle)
Applicants enrolled in a programme at Chalmers where the course is included in the study programme are exempted from fulfilling the requirements above.

Specific entry requirements

English 6 (or by other approved means with the equivalent proficiency level)
Applicants enrolled in a programme at Chalmers where the course is included in the study programme are exempted from fulfilling the requirements above.

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 including compulsory elements

Home assignments and/or a written final exam.

The course examiner may assess individual students in other ways than what is stated above if there are special reasons for doing so, for example if a student has a decision from Chalmers on educational support due to disability.

The course syllabus contains changes

  • Changes to examination:
    • 2022-04-23: Exam date Exam date changed by Elisabeth Eriksson
      [33873, 56597, 3], New exam for academic_year 2021/2022, ordinal 3 (not discontinued course)