Discrete Markov Processes
3-4 hours of lectures per week.
Lecturer
Goran Peskir
Content
Continuous-time discrete-space Markov processes (also called continuous time Markov chains) play a fundamental role in many applications (queueing and inventory models, population growth models, various engineering systems, etc). The course introduces the basic definitions and concepts of these processes and proves fundamental results needed in applications. The contents include:
1. Poisson process
2. Birth and death processes
3. Continuous Markov chains
4. The Chapman-Kolmogorov equations
5. The Kolmogorov forward and backward equations
6. Stationary distributions
7. Further examples and problems.
Prerequisites
Stochastic processes.
Literature
Lecture notes.
Evaluation
Active participation.
ECTS-credits
5.
Quarter
1st quarter of the spring term 2004.