Stochastic Processes

TBA

Syllabus

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.

Bibliography

• 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

• Aulas começam dia 15/6 e o link do Zoom será enviado aos alunos inscritos.

• Avaliação: duas provas (P1 e P2) e a média final será M = (P1 + P2)/2

• P1: 22/7 e P2: 2/9

• A provas serão liberadas pelo eclass e os alunos terão 24h até a entrega pelo sistema.

Lecture notes:

Homework:

• Probability

• Markov chains

• Queueing and Renewal

• Conditional expectation

• Martingales

• Brownian motion