Undergraduate Course: Stochastic Modelling (MATH10007)
Course Outline
School |
School of Mathematics |
College |
College of Science and Engineering |
Course type |
Standard |
Availability |
Available to all students |
Credit level (Normal year taken) |
SCQF Level 10 (Year 3 Undergraduate) |
Credits |
10 |
Home subject area |
Mathematics |
Other subject area |
Specialist Mathematics & Statistics (Honours) |
Course website |
http://student.maths.ed.ac.uk |
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Course description |
Core course for Honours Degrees involving Statistics; optional course for Honours degrees involving Mathematics. Syllabus summary: Markov Chains in discrete time: classification of states, first passage and recurrence times, absorption problems, stationary and limiting distributions. Markov Processes in continuous time: Poisson processes, birth-death processes. The Q matrix, forward and backward differential equations, imbedded Markov Chain, stationary distribution. |
Course Delivery Information
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Delivery period: 2010/11 Semester 2, Available to all students (SV1)
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WebCT enabled: Yes |
Quota: None |
Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
King's Buildings | Lecture | | 1-11 | 09:00 - 09:50 | | | | | King's Buildings | Lecture | | 1-11 | | | | 09:00 - 09:50 | |
First Class |
Week 1, Tuesday, 10:00 - 10:50, Zone: King's Buildings. JCMB, room 5326 |
Summary of Intended Learning Outcomes
1. Ability to solve difference equations using generating functions, using P.S.+C.S.
2. Ability to classify states of a Markov Chain.
3. Ability to calculate mean first passage and recurrence times for an irreducible recurrent state Markov Chain.
4. Calculation of absorption probabilities for a Markov Chain with recurrent classes and transient states.
5. Understanding stationary and limiting behaviour and deriving these probability distributions.
6. Appreciating the range of applications, together with a facility to model appropriate problems in terms of a stochastic process.
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Assessment Information
Examination only. |
Please see Visiting Student Prospectus website for Visiting Student Assessment information |
Special Arrangements
Not entered |
Contacts
Course organiser |
Dr Adri Olde-Daalhuis
Tel: (0131 6)50 5992
Email: A.OldeDaalhuis@ed.ac.uk |
Course secretary |
Mrs Katherine Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
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copyright 2010 The University of Edinburgh -
1 September 2010 6:18 am
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