MU:MU01120 Theory of Stochastic Processes - Course Information

MU01120 Theory of Stochastic Processes

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

doc. RNDr. Michaela Mlíchová, Ph.D.
Mathematical Institute in Opava

Timetable

Mon 9:45–10:30 RZ

• Timetable of Seminar Groups:

MU01120/01: Mon 10:35–11:20 RZ, M. Mlíchová

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

Literature

required literature
• V. Skřivánková, M. Hančová. Náhodné procesy a ich aplikácie. UPJŠ, Košice, 2018.
• D. Jarušková. pravděpodobnost a matematická statistiky
• 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.

• Enrolment Statistics (Summer 2023, recent)
  
• Permalink: https://is.slu.cz/course/sumu/summer2023/MU01120