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Stochastic Processes

Master's level | 7.5 credits | Course code: MSF200
Spring 2020
50% Day
Period: 23 March 2020 - 7 June 2020
2 Closed GU-21761
2) Only EU/EEA citizens and students with approved residence permit in Sweden can apply

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.

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Requirements and Selection

Requirements: An undergraduate course in mathematical statistics or a strong mathematical background.

Selection: All eligible applicants who have applied before the deadline will be granted a place.

Tuition Fee

Application fee: 900 SEK
Full course cost: 14 550 SEK
First payment: 14 550 SEK

EU/EEA citizens, Swedish residence permit holders and exchange students do not pay fees. More information on:

Study Guidance, tel: 031-772 3505


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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