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MSG800/MVE170 Basic Stochastic Processes, Exercise Sessions



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.


Crash course in probability theory and some useful facts from math

Exercise Session 1 pdf-file, ps-file.

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


Exercises on Hsu's book

Exercise Session 2 pdf-file, ps-file.

Exercise Session 3 pdf-file, ps-file.

Exercise Session 4 pdf-file, ps-file. Some non-mandatory extra theoretical considerations that relate to the computational problem on ditto pdf-file, ps-file.

Exercise Session 5 pdf-file, ps-file. Alternative solution of Problem 6.26 on ditto pdf-file, ps-file.

Exercise Session 6 pdf-file, ps-file.

Exercise Session 7 pdf-file, ps-file.


Exercises on G-S's book

Exercises on 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. 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.

The exercises on Grimmett and Strirzaker's book are discussed by Patrik Albin during lectures.


Patrik Albin (Associate Professor) is responsible for the course. Welcome to contact Patrik for more information about the course.
www: http://www.chalmers.se/math/SV/organisation/matematisk-statistik/personal/larare-och-forskare/albin-patrik
Personal homepage: http://www.math.chalmers.se/~palbin
Email: palbin@chalmers.se
Telephone: 031 / 772 3512
Fax: 031 / 772 3508
Room: L3072
Adress: Matematisk Statistik, CTH & GU, 412 96 Göteborg, Sweden


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