Denna www-sida har författats av Patrik Albin - Ansvarsförhållanden (This webpage has been written by Patrik Albin - Disclaimer)

MSF200/MVE330 Stochastic Processes, 7.5 credits (Stokastisk processer, 7.5 poäng)

Third Quarter, Spring 2010 (Läsperiod 3, Vårterminen 2010)

The course starts with an introduction meeting Monday 18 January 2010 at 10.00-10.45 am in the Mathematical Sciences building Room MVH11.

There will be two 2 hour long lecture sessions per week for the 7 weeks of Chalmers third quarter. The schedule for the course will be determined in agreement with the participants during the above mentioned introductory meeting. Please email Patrik Albin before the meeting if you want to participate in the course but cannot attend the meeting.

Examination on the course is flexible and decided in agreement with the students. It can be e.g., by means of a written exam or by means of hand-ins. See the course programme below for more definite information.

As course literature we use Chapter 6 and Chapters 8-12 of the book "Probability and Random Processes" by Grimmett and Stirzaker, titled "Markov Chains", "Random Processes", "Stationary Processes", "Renewals", "Queues" and "Martingales", respectively. Additional lecture notes authored by Patrik Albin. The treatments of these topics are rather advanced and sofisticated with an emphasis on detail an rigour, and the course is intended to be suitable for advanced undergraduate students as well as graduate students.

All prospective course participants are welcome to contact Patrik Albin (e.g., by email) to enquire about the course, including questions about prerequisites and preparations. The course is given in English. The course is given bianually.

Course programme ps-file, pdf-file

Lecture notes (final version from 5 March 2010) ps-file, pdf-file

Additional information about the course can be found at the web-pages of University of Gothenburg.

Link to TMS165/MSA350 Stochastic Calculus Part I, 7.5 credits, First Quarter Fall 2009.

Link to TMS170/MSA360 Stochastic Calculus Part II, 7.5 credits, Second Quarter Fall 2009.

Patrik Albin (Associate Professor) is responsible for the course. Welcome to contact Patrik for more information about the course.

Personal homepage:
Telephone: 031 / 772 3512
Fax: 031 / 772 3508
Room: 3072
Adress: Matematisk Statistik, CTH & GU, 412 96 Göteborg, Sweden