Introduction to Stochastic Processes
||4 credit points
||Litvak, N. (Universiteit Twente), Scheinhardt, W.R.W. (Universiteit Twente)
||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.
||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.
||This is a crash course. Meetings only on Mondays and Tuesdays September 5, 6, 12 and 13. Time: 10:15-14:45h.
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
||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.
||Knowledge of probability at the level: S.M. Ross, 'Introduction to probability models', 10th edition, Academic Press, 2010 (chapters 1-3).