Course

M455 - Introduction to Stochastic Processes

Course No: 
M455
Credit: 
4
Prerequisites: 
M206
Approval: 
2014
UG-Elective
PG-Core
Syllabus: 
Discrete Markov chains with countable state space; Classification of states: recurrences, transience, periodicity. Stationary distributions, reversible chains, Several illustrations including the Gambler’s Ruin problem, queuing chains, birth and death chains etc. Poisson process, continuous time Markov chain with countable state space, continuous time birth and death chains.
Reference Books: 
  1. P. G. Hoel, S. C. Port, C. J. Stone, “Introduction to Stochastic Processes”, Houghton Mifflin Co., 1972.
  2. R. Durrett, “Essentials of Stochastic Processes”, Springer Texts in Statistics, Springer, 2012.
  3. G. R. Grimmett, D. R. Stirzaker, “Probability and Random Processes”, Oxford University Press, 2001.
  4. S. M. Ross, “Stochastic Processes”, Wiley Series in Probability and Statistics: Probability and Statistics, John Wiley & Sons, 1996

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School of Mathematical Sciences

NISERPO- Bhimpur-PadanpurVia- Jatni, District- Khurda, Odisha, India, PIN- 752050

Tel: +91-674-249-4081

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