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Introduction to Stochastic Processes
| Credits |
4 credit points |
| Instructors |
Boxma, O.J. (Technische Universiteit Eindhoven), Adan, I.J.B.F. (Technische Universiteit Eindhoven) |
| E-mail |
o.j.boxma@tue.nl, i.j.b.f.adan@TUE.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.
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| Organization |
Crash course: 4 days (September 4, 5, 11 and 12; 10:15-12.00, 13:00-14.45) |
| Examination |
To be announced. |
| Literature |
S.M. Ross, 'Introduction to probability models', 8th edition, Academic Press, 2003. |
| Prerequisites |
Basic knowledge of probability at the level: S.M. Ross, ‘Introduction to probability models’, 8th edition, Academic Press, 2003 (chapters 1-3). |
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