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MSG800/MVE170 Basic Stochastic Processes, 7.5 credits, Second Quarter, Fall 2013

Course Programme pdf-file, ps-file.

We use the Second Edition of Hsu's book from 2010. The only difference between that edition and the First Edition from 1997 is that Section 5.8 about martingales together with corresponding Solved Problems 5.63-5.82 and Supplementary Problems 5.103-5.106 has been added to the Second Edition. It is quite possible to follow the course using the First Edition of Hsu's book by means of using xerox copies of Section 5.8 in the Second Edition of Hsu's book together with the corresponding problems. Such xerox copies can be obtained from Patrik - they constitute a total of 12 pages and lie well within what teachers are permitted to copy from course literature and hand out to students.

Link to web-page for the exercise sessions.

List of Errata for Hsu's book (version 2 November 2013) pdf-file, ps-file.

List of course emails.

Course representatives are Mattias Kristiansson (I), Pontus Larsson (TM), Edvin Listo Zec (TM), Julia Reibring (F), Rickard Wendeberg (I)

Link to web-page for old exams.

Additional information about the course can be found at Chalmers Student Portal. The corresponding www-page for University of Gothenburg is here.

Link to TMS165/MSA350 Stochastic Calculus Part I, 7.5 credits, First Quarter Fall 2013.

Link to MVE136 Random Signals Analysis, 7.5 credits, First Quarter Fall 2013.

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: L3072
Adress: Matematisk Statistik, CTH & GU, 412 96 Göteborg, Sweden