Undergraduate Course: Stochastic Modelling (MATH10007)
|School||School of Mathematics
||College||College of Science and Engineering
|Credit level (Normal year taken)||SCQF Level 10 (Year 3 Undergraduate)
||Availability||Available to all students
|Summary||Core course for Honours Degrees involving Statistics; optional course for Honours degrees involving Mathematics. This is an advanced probability course dealing with discrete and continuous time Markov chains. The course covers the fundamental theory, and provides many examples. Markov chains has countless applications in many fields raging from finance, operation research and optimization to biology, chemistry and physics.
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.
Syllabus summary: Probability review: Conditional probability, basic definition of stochastic processes. Discrete-time Markov chains: Modelling of real life systems as Markov chains, transient behaviour, limiting behaviour and classification of states, first passage and recurrence times, absorption problems, ergodic theorems, Markov chains with costs and rewards, reversibility. Poisson processes: Exponential distribution, counting processes, alternative definitions of Poisson processes, splitting, superposition and uniform order statistics properties, non-homogeneous Poisson processes. Continuous-time Markov chains: transient behaviour, limiting behaviour and classification of states in continuous time, ergodicity, basic queueing models.
Information for Visiting Students
|High Demand Course?
Course Delivery Information
|Academic year 2015/16, Available to all students (SV1)
|Learning and Teaching activities (Further Info)
Lecture Hours 22,
Seminar/Tutorial Hours 5,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
|Assessment (Further Info)
|Additional Information (Assessment)
||Coursework 5%, Examination 95%
||Hours & Minutes
|Main Exam Diet S2 (April/May)||Stochastic Modelling (MATH10007)||2:00|
On completion of this course, the student will be able to:
- Basic understanding of stochastic processes and their characterization
- Ability to analyze the transient behaviour of Markov chains, and classify their states
- Understanding stationary and limiting behaviour and deriving these probability distributions
- Ability to calculate the finite dimensional distributions of Poisson processes
- Appreciating the range of applications, together with a facility to model appropriate problems in terms of a stochastic process
|Course organiser||Dr Tibor Antal
Tel: (0131 6)51 7672
|Course secretary||Mr Thomas Robinson
Tel: (0131 6)50 4885
© Copyright 2015 The University of Edinburgh - 18 January 2016 4:24 am