INSTITUTE OF APPLIED MATHEMATICS
Last Updated:
28/08/2017 - 21:10

IAM542 - Stochastic Processes

Credit: 3(3-0); ECTS: 8.0
Instructor(s): Consent of IAM
Prerequisites: Consent of Instructor(s)

Course Catalogue Description

This course is a nonmeasure theoretic introduction to stochastic processes, and as such assumes a knowledge of calculus and elementary probability. Some of the theory of stochastic processes is presented and diverse range of its applications is indicated. Outline of Topics: Poisson process, Renewal Theory, discrete-time Markov chains, continuous-time Markov chains, martingales, random walks, Brownian Motion. Applications to queueing and to ruin problems.

Course Objectives

Course Learning Outcomes

Tentative (Weekly) Outline

This course is a nonmeasure theoretic introduction to stochastic processes, and as such assumes a knowledge of calculus and elementary probability. Some of the theory of stochastic processes is presented and diverse range of its applications is indicated. Outline of Topics: Poisson process, Renewal Theory, discrete-time Markov chains, continuous-time Markov chains, martingales, random walks, Brownian Motion. Applications to queueing and to ruin problems.

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