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Introduction to Stochastic Processes
| Credits | 4 credit points |
| Instructors | Adan, I.J.B.F. (Technische Universiteit Eindhoven), Boxma, O.J. (Technische Universiteit Eindhoven) |
| i.j.b.f.adan@TUE.nl, o.j.boxma@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 | 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. |
| Examination | Written examination. |
| Literature | Literature S.M. Ross, 'Introduction to probability models', 9th edition, Academic Press, 2007. |
| Prerequisites | Prerequisites Basic knowledge of probability at the level: S.M. Ross, ‘Introduction to probability models’, 9th edition, Academic Press, 2007 (chapters 1-3). |