Course - Stochastic Prosesses in Engineering Systems - MA8109
MA8109
Stochastic Prosesses in Engineering Systems
Lessons are not given in the academic year 2010/2011
Credits
7.5
Level
Doctoral degree level
Examination arrangement
Written examination and Report
About
About the course
Course content
The course will be lectured every second year, next time Fall 2011. With few students, the course may be held as a tutored seminar.
Survey of necessary measure and probability theory. Independence and conditional expectation. The spectral representation and stochastic solutions of differential equations. Brownian motion. The Ito integral. Martingales. Stochastic Differential Equations. Diffusion. Applications of stochastic modelling.
Learning methods and activities
Lectures, alternatively guided self-study.
Recommended previous knowledge
The course requires basic knowledge in probability theory and linear analysis, and some mathematical maturity.
Course materials
Will be announced at the start of the course.
Subject areas
- Mathematics
Contact information
Department with academic responsibility
Examination
Examination
Examination arrangement: Written examination and Report
Grade: Letters
Ordinary examination - Autumn 2010
Rapport
Weighting
20/100
Skriftlig eksamen
Weighting
80/100
Duration
4 timer
Place and room
Not specified yet.