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Stochastic Processes

Master's level | 7.5 credits | Course code: MSF200

The course is not given as a stand-alone course this academic year, but can be included in the program/course package. For information contact the department.

About the Course

The course gives an advanced treatment of the theory of stochastic processes based on probability theory and mathematical analysis.Hence there is a certain focus on proofs and rigour, instead of reasoning and learning by means of applications and examples. As well as being suitable for students with a more theoretical interest, the course is suitable for gaining deepened knowledge of stochastic processes for applied students with a background from one of the courses MSG800 Basic Stochastic Processes, MSG860 Basic Stochastic Processes F.

What is a stochastic process? Distribution theory. Time series with random walks. Brownian motion and diffusions. Elements of Levy processes. Gaussian processes. Stationarity and weak stationarity. Continuous time Markov chains. Elements of Queues. Self-similar processes. Elements of filtering and forecasting. Elements of simulation and numerical methods.

More Information

http://www.chalmers.se/math/...

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Tuition Fee

Please contact the department.
EU/EEA citizens, Swedish residence permit holders and exchange students do not pay fees. More information on: http://www.universityadmissions.se

Study Guidance

svl.math@gu.se, tel: 031-772 3505

Department

Department of Mathematical Sciences
41296 Göteborg

Visiting address: Chalmers Tvärgata 3

Phone: 0317721000

Page Manager: Pontus Sundén
Last update: 2/18/2020 2:41 PM

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Page Manager: Pontus Sundén|Last update: 10/16/2018
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