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Basic Stochastic Processes

Bachelor's level | 7.5 credits | Course code: MSG800
Autumn 2020
50% Day
Period: 3 November 2020 - 17 January 2021
2) Only EU/EEA citizens and students with approved residence permit in Sweden can apply

About the Course

The main topics of the course are: Introduction to random processes in discrete and continuous time, characterization and classification of random processes. Markov chains and Markov processes, Poisson processes and Wiener processes, martingales. Continuity, differetiation and integration of random processes, spectral analysis, white noise, random processes in linear systems. Implementation and analysis of random processes in computers.

More Information

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Course Syllabus


Requirements and Selection

Requirements: Undergraduate experience of probability theory, such as an undergraduate course in mathematical statistics. Students with a good mathematical background might not need a probability 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: 14 875 SEK
First payment: 14 875 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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