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MSG800/MVE170 Basic Stochastic Processes, Exercise Sessions


The course has six exercise sessions. Patrik Albin will be available in the lecture room Euler at Thursdays 08.00-09.45 am beginning course week 2 (Thursday 7 November) to help students with the exercises.

Exercise Session 1 (Section 5.1-5.4 in Hsu's book) pdf-file, ps-file.

Exercise Session 2 (Section 5.6-5.8 in Hsu's book) pdf-file, ps-file. Mathematica solution of the computational problem on ditto nb-file, pdf-file. Some non-mandatory extra theoretical considerations that relate to the computational problem on ditto pdf-file, ps-file.

Exercise Session 3 (Section 6.1-6.4 in G-S's book) pdf-file, ps-file. Mathematica solution of the computational problem on ditto nb-file, pdf-file. Mathematica solution of part of Exercise 6.3.3 (a) in Grimmett and Stirzaker on ditto nb-file, pdf-file.

Exercise Session 4 (Section 6.5, 6.8-6.9 and 6.11 in G-S's book) pdf-file, ps-file. Mathematica solution of part of Exercise 6.9.1 in Grimmett and Stirzaker on ditto nb-file, pdf-file. Mathematica solution of part of Exercise 6.11.4 in Grimmett and Stirzaker on ditto nb-file, pdf-file. Information (in Swedish) about how to calculate matrix function (matrix powers) more efficiently than my mean of diagonalization pdf-file, ps-file.

Exercise Session 5 (Chapter 6 in Hsu's book) pdf-file, ps-file. Alternative solution of Problem 6.26 on ditto pdf-file, ps-file. Mathematica solution of some problems for own work on ditto nb-file, pdf-file. Mathematica solution of the computational problem on ditto nb-file, pdf-file.

Exercise Session 6 (Chapter 9 in Hsu's book) pdf-file, ps-file. Mathematica solution of all problems for own work on ditto nb-file, pdf-file. Mathematica solution of the computational problem on ditto nb-file, pdf-file.

There is an additional initial Exercise Session 0 on Chapters 1-4 in Hsu's book intended for students who feel they have week skills in probability theory to strengthen those skills pdf-file, ps-file. Mathematica solution of Problem 3.68 on ditto nb-file, pdf-file.

The computer exercises can be carried out in any reasonable programming language of the students own preference or imagination. There will be one such computer exercise on the written exam. When an exercise is not accompanied by an answer that is intentional - in other words, it is a part of the exercises to be able to establish the correctness of an obtained answer.

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