Postgraduate Course: Stochastic Modelling (MATH11029)
|School||School of Mathematics
||College||College of Science and Engineering
|Credit level (Normal year taken)||SCQF Level 11 (Postgraduate)
||Availability||Not available to visiting students
|Summary||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.
Entry Requirements (not applicable to Visiting Students)
|Prohibited Combinations|| Students MUST NOT also be taking
Stochastic Modelling (MATH10007)
||Other requirements|| None
Course Delivery Information
|Academic year 2019/20, Not available to visiting students (SS1)
|Learning and Teaching activities (Further Info)
Lecture Hours 20,
Seminar/Tutorial Hours 10,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
|Assessment (Further Info)
||Hours & Minutes
|Main Exam Diet S2 (April/May)||MSc Stochastic Modelling||2:00|
On completion of this course, the student will be able to:
- Demonstrate basic understanding of stochastic processes and their characterization, as well as basic probabilistic reasoning skills.
- Model dynamic systems with noise, applications include reliability theory, inventory theory, queueing theory, telecommunication networks, biological systems.
- Classify states of a Markov chain.
- Understand transient and stationary behaviour of Markov chains and deriving stationary distributions.
- Model and analyze arrival processes as Poisson processes.
|Course organiser||Dr Tibor Antal
Tel: (0131 6)51 7672
|Course secretary||Miss Gemma Aitchison
Tel: (0131 6)50 9268