SE 359. Applied Stochastic Processes
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Definition and classification of general stochastic processes. Markov Chains: definition, transition probability matrices, classification of states, limiting properties. Markov Chains with Discrete State Space: Poisson process, birth and death processes. Renewal Process: renewal equation, mean renewal time, stopping time. Markov Process with Continuous State Space: Introduction to Brownian motion.
- REFERENCES:
- Stochastic Processes - J. Medhi, 2nd edition, Wiley Eastern, 1994
- Probability Models - S.M. Ross, 6th edition, Academic Press, 1997
- Stochastic Processes - E. Parzen, Holden Day, 1962.
- Concerned Department: Mathematics