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https://tue.osiris-student.nl/onderwijscatalogus/extern/cursus?cursuscode=2MBS30&collegejaar=2025&taal=enA stochastic process is a collection of random variables. In this course we define and classify stochastic processes. We subsequently provide extensive treatments of the following stochastic processes: the Poisson process, Markov chains, Markov processes, birth-and-death processes. We also discuss several applications of stochastic processes. The modelling of various real-life situations (queues, technological systems, investment strategies, biological phenomena) as stochastic process receives special attention.
- To have a thorough understanding of the properties of the Poisson process
- To have insight into Markov chains, Markov processes and birth-and-death processes, and to be able to determine their stationary distribution
- To get a feeling for the application of stochastic processes in the analysis and optimization of all kinds of systems and phenomena in industry and society
- To be able to treat a modeling problem of moderate size in the area of stochastics.
Written examination