Stochastic Processes


Discrete-time Markov chains. Continuous-time Markov chains. Poisson process. Birth and death process. Queueing theory. Renewal process. Discrete-time martingales. Gaussian process. Introduction to Brownian motion.

  • Grimmett, G. R. and Stirzaker, D. R.  (2001). Probability and Random Processes.  Oxford.

  • Steele , J. M. (2012). Stochastic Calculus and Financial Applications . Springer. 

  • Hoel, P., Port, S. and Stone, C. (1986). Introduction to Stochastic Processes. Waveland.

  • Berestycki, N. and Sousi. P. (2017). Applied Probability. Lecutre notes.

Provas e Avisos
Lecture notes:
  • Probability

  • Markov chains

  • Queueing and Renewal

  • Conditional expectation

  • Martingales

  • Brownian motion