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
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Grimmett, G. R. and Stirzaker, D. R. (2001). Probability and Random Processes. Oxford.
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Steele , J. M. (2012). Stochastic Calculus and Financial Applications . Springer.
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Hoel, P., Port, S. and Stone, C. (1986). Introduction to Stochastic Processes. Waveland.
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Berestycki, N. and Sousi. P. (2017). Applied Probability. Lecutre notes.
Provas e Avisos
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Aulas começam dia 15/6 e o link do Zoom será enviado aos alunos inscritos.
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Avaliação: duas provas (P1 e P2) e a média final será M = (P1 + P2)/2
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P1: 22/7 e P2: 2/9
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A provas serão liberadas pelo eclass e os alunos terão 24h até a entrega pelo sistema.
Lecture notes:
Homework:
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Probability
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Markov chains
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Queueing and Renewal
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Conditional expectation
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Martingales
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Brownian motion