MAT3262

Stochastic processes

Coordinator: Dr Robert Griffiths

4 points
* Two 1-hour lectures per week
* Second semester
* Clayton
* Prerequisites: MAT2061
* Recommendations: MAT2211
* Prohibitions: MAS3431, MMS3022

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 probability processes to such practical situations as queues, epidemics, servicing machines, networks etc.

Synopsis This topic studies the evolution of chance phenomena in continuous time, including the Poisson process, other continuous-time Markov processes, and simulation and application of stochastic processes to operations research problems.

Assessment Examination (2 hours): 90%
* Assignments and/or tests: 10%

Recommended texts

Ross S M Introduction to probability models 6th edn, Academic Press, 1997
Taylor H M and Karlin S An introduction to stochastic modeling Academic Press, 1984