Course: Theory of Stochastic Processes

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Course title Theory of Stochastic Processes
Course code MU/01120
Organizational form of instruction Lecture + Lesson
Level of course Bachelor
Year of study not specified
Semester Winter
Number of ECTS credits 3
Language of instruction Czech
Status of course Compulsory-optional
Form of instruction Face-to-face
Work placements This is not an internship
Recommended optional programme components None
Course availability The course is available to visiting students
Lecturer(s)
  • KOČAN Zdeněk, doc. RNDr. Ph.D.
  • ROTH Samuel Joshua, Mgr. Ph.D.
Course content
- the probability notion, random variable and its cumulative distribution function - discrete and continuous random variables - expectation and variance - binomial, Poisson, exponential, and normal probability distributions - stochastic process, an example of inventory policy - discrete Markov chain with finite state space - Chapman-Kolmogorov equations - classification of states of a Markov chain - first passage time - steady-state probabilities of Markov chain - continuous Markov chains - basic queueing models

Learning activities and teaching methods
unspecified
Recommended literature
  • F. S. Hilier, G. J. Lieberman. Introduction to stochastic models in operations reseach. McGraw Hill, 1990.
  • Š. Peško, J. Smieško. Stochastické modely operačnej analýzy. Žilinská univerzita, Žilina, 1999. ISBN 80-7100-570-3.
  • Z. Riečanová a kol. Numerické metody a matematická štatistika. Alfa, Bratislava, 1987. ISBN 063-559-87.


Study plans that include the course
Faculty Study plan (Version) Branch of study Category Recommended year of study Recommended semester
Mathematical Institute in Opava Mathematical Methods in Economics (3) Economy 3 Winter
Mathematical Institute in Opava Applied Mathematics (2014-F) Mathematics courses 2 Winter
Mathematical Institute in Opava Mathematical Methods in Economics (2) Economy 3 Winter
Mathematical Institute in Opava Applied Mathematics (2014-IVT) Mathematics courses 2 Winter
Mathematical Institute in Opava Applied Mathematics in Risk Management (3) Mathematics courses 3 Winter