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Introduction to Stochastic Processes
| Credits | 4 credit points |
| Instructors | Litvak, N. (Universiteit Twente), Scheinhardt, W.R.W. (Universiteit Twente) |
| n.litvak@ewi.utwente.nl, w.r.w.scheinhardt@math.utwente.nl | |
| Aim | To provide an introduction in the basic notions of stochastic processes as applied in stochastic operations research topics like queueing theory and Markov decision processes. |
| Description | The following subjects will be treated: - Discrete time Markov chains, including classification of states and long run behaviour and branching processes. - Exponential distribution and Poisson Processes. - Generating functions and Laplace-Stieltjes transforms. - Continuous time Markov chains and birth-and-death processes. - Renewal theory, including renewal theorem, renewal reward processes and regenerative processes. |
| Organization | This is a crash course. Meetings only on Mondays and Tuesdays September 5, 6, 12 and 13. Time: 10:15-14:45h. |
| Examination | Written exam on September 26, 13:00-16:00h, Buys Ballot Lab room 201. Date resit: Friday December 2, 13.45-16.45. University Twente, room Carre 1A.Please find a map of the campus and a route description: http://www.utwente.nl/nl/contact |
| Literature | S.M. Ross, 'Introduction to probability models', 10th edition, Academic Press, 2010. The 9th or 8th edition can also be used. Having the book is essential for the course. |
| Prerequisites | Knowledge of probability at the level: S.M. Ross, 'Introduction to probability models', 10th edition, Academic Press, 2010 (chapters 1-3). |