TMA4265 - Stochastic Processes

About

Examination arrangement

Examination arrangement: Portfolio assessment
Grade: Letters

Evaluation form Weighting Duration Examination aids Grade deviation
Written examination 80/100 4 hours C
Work 20/100

Course content

Markov processes with discrete/continuous time-parameter and discrete/continuous state space,
including branching processes, Poisson processes, birth and death processes, and Brownian
motion. Queueing processes. Procedures for simulation of stochastic processes.

Learning outcome

1. Knowledge. The student has basic knowledge about stochastic processes in the time domain. The student has acquired more detailed knowledge about Markov processes with a
discrete state state space, including Markov chains, Poisson processes and birth and death
processes. The student also knows about queueing systems and Brownian motion, in addition to mastering the fundamental principles of simulation of stochastic processes and the
construction of Markov chain Monte Carlo (MCMC) algorithms.
2. Skills. The student is able to formulate simple stochastic process models in the time domain
and provide qualitative and quantitative analyses of such models.

Learning methods and activities

Lectures, exercises and works (projects). Portfolio assessment is the basis for the grade awarded in the course. This portfolio comprises a written final examination (80%) and works (projects) (20%). The results for the constituent parts are to be given in %-points, while the grade for the whole portfolio (course grade) is given by the letter grading system. Retake of examination may be given as an oral examination.
The lectures may be given in English.

Compulsory assignments

  • Work

Specific conditions

Exam registration requires that class registration is approved in the same semester, or that compulsory activities are approved in a previous semester.

Course materials

Will be announced at the start of the semester.

Credit reductions

Course code Reduction From To
SIF5072 7.5
ST2101 7.5

Timetable

Examination

Examination arrangement: Portfolio assessment

Term Evaluation form Weighting Examination aids Date Time Room *
Autumn Work 20/100
Autumn Written examination 80/100 C 2016-12-01 09:00
* The location (room) for a written examination is published 3 days before examination date.
If more than one room is listed, you will find your room at Studentweb.