MU:MU01120 Theory of Stochastic Processes - Course Information
MU01120 Theory of Stochastic Processes
Mathematical Institute in OpavaSummer 2021
- Extent and Intensity
- 1/1/0. 3 credit(s). Type of Completion: z (credit).
- Teacher(s)
- doc. RNDr. Michaela Mlíchová, Ph.D. (lecturer)
- Guaranteed by
- Mgr. Samuel Joshua Roth, Ph.D.
Mathematical Institute in Opava - Timetable
- Wed 8:05–8:50 R1
- Timetable of Seminar Groups:
- Prerequisites (in Czech)
- TYP_STUDIA(B)
- Course Enrolment Limitations
- The course is also offered to the students of the fields other than those the course is directly associated with.
- fields of study / plans the course is directly associated with
- Mathematical Methods and Modelling (programme MU, Bc-M)
- Mathematical Methods in Economics (programme MU, Bc-M)
- Mathematical Methods in Risk Management (programme MU, Bc-M)
- General Mathematics (programme MU, Bc-M)
- Course objectives
- This course offers an in-depth treatment of the most common probability distributions and the theory of Markov chains.
- Syllabus
- - probability, random variables, and cumulative distribution functions
- discrete and continuous random variables
- expectation and variance
- binomial, Poisson, exponential, and normal probability distributions
- stochastic process, an example of inventory policy
- discrete Markov chain with finite state space
- Chapman-Kolmogorov equations
- classification of states of a Markov chain
- first passage time
- steady-state probabilities of Markov chain
- continuous Markov chains
- basic queueing models
- - probability, random variables, and cumulative distribution functions
- Literature
- required literature
- F. S. Hilier, G. J. Lieberman. Introduction to stochastic models in operations reseach. McGraw Hill, 1990. info
- Z. Riečanová a kol. Numerické metody a matematická štatistika. Alfa, Bratislava, 1987. ISBN 063-559-87. info
- recommended literature
- Š. Peško, J. Smieško. Stochastické modely operačnej analýzy. Žilinská univerzita, Žilina, 1999. ISBN 80-7100-570-3. info
- Language of instruction
- Czech
- Further comments (probably available only in Czech)
- Study Materials
The course can also be completed outside the examination period. - Teacher's information
- Conditions for successful course completion:
1. Satisfactory oral presentation of at least 15 solved homework problems during tutorials.
2. Satisfactory completion of the semester project, which will be assigned during the first tutorial.
- Enrolment Statistics (Summer 2021, recent)
- Permalink: https://is.slu.cz/course/sumu/summer2021/MU01120