Stochastic processes
4 points * First semester * Clayton * Prerequisites: MAT2020, MAS2011
Objectives On the completion of this subject students will be able to understand the idea of random variables varying with time; analyse Markov chains at an elementary level; analyse Markov processes in continuous time; study various processes such as Poisson process, birth process, birth and death process; apply the above mathematical processes to such practical situations as queues, epidemics, servicing machines, etc.
Synopsis This topic studies the evolution of chance phenomena in continuous time, including the Poisson process and other continuous-time Markov processes.
Assessment Examinations (1.5 hours): 90% * Tests and/or assignments: 10%
Recommended texts
Feller W An introduction to probability theory and its applications vols 1 and 2, Wiley
Hoel P G and others An introduction to stochastic processes Houghton-Mifflin, 1972
| Published by Monash University, Clayton, Victoria
3168 Copyright © Monash University 1996 - All Rights Reserved - Caution Authorised by the Academic Registrar December 1996 |