FMSF15 course code for LTH
MASC13 course code for NF

General Information

Elective for: BME4, C4, D4-ns, E4-ae, F4, F4-bg, F4-bm, I4, Pi4-ssr, MMSR2
Language of instruction: The course will be given in English

Contents

Markov chains: model graphs, Markov property, transition probabilities, persistent and transient states, positive and null persistent states, communication, existence and uniqueness of stationary distribution, and calculation thereof, absorption times.

Poisson process: Law of small numbers, counting processes, event distance, non-homogeneous processes, diluting and super positioning, processes on general spaces.

Markov processes: transition intensities, time dynamic, existence and uniqueness of stationary distribution, and calculation thereof, birth-death processes, absorption times.

Introduction to renewal theory and regenerative processes.

Examination details

Grading scale: TH - (U,3,4,5) - (Fail, Three, Four, Five)
Assessment: Written exam and compulsory computer exercises.

The examiner, in consultation with Disability Support Services, may deviate from the regular form of examination in order to provide a permanently disabled student with a form of examination equivalent to that of a student without a disability.

Parts
Code: 0115. Name: Examination.
Credits: 6,5. Grading scale: TH. Assessment: Written examination.
Code: 0215. Name: Laboratory Work Part 1.
Credits: 0,5. Grading scale: UG. Assessment: The first computer exercise
Code: 0315. Name: Laboratory work Part 2.
Credits: 0,5. Grading scale: UG. Assessment: The rest of the computer exercises

Admission requirements

A basic course in mathematical statistics; or both multivariate analysis and linear algebra
FMAA20 Linear Algebra with Introduction to Computer Tools or FMAA21 Linear Algebra with Numerical Applications or FMAB20 Linear Algebra or FMSF20 Mathematical Statistics, Basic Course or FMSF25 Mathematical Statistics - Complementary Project or FMSF32 Mathematical Statistics or FMSF45 Mathematical Statistics, Basic Course or FMSF50 Mathematical Statistics, Basic Course or FMSF55 Mathematical Statistics, Basic Course or FMSF70 Mathematical Statistics or FMSF75 Mathematical Statistics, Basic Course or FMSF80 Mathematical Statistics, Basic Course
FMAB30 Calculus in Several Variables or FMAB35 Calculus in Several Variables or FMSF20 Mathematical Statistics, Basic Course or FMSF25 Mathematical Statistics - Complementary Project or FMSF32 Mathematical Statistics or FMSF45 Mathematical Statistics, Basic Course or FMSF50 Mathematical Statistics, Basic Course or FMSF55 Mathematical Statistics, Basic Course or FMSF70 Mathematical Statistics or FMSF75 Mathematical Statistics, Basic Course or FMSF80 Mathematical Statistics, Basic Course

Assumed prior knowledge: A basic course in mathematical statistics.
The number of participants is limited to: No
The course overlaps following course/s: FMS180, MASC03

Reading list

Lindgren, G. & Rydén, T.: Markovprocesser. KFS, 2002. One of the books is enough. Recommended for Swedish students.
Mark Pinsky and Samuel Karlin: An Introduction to Stochastic Modeling. Academic Press Inc, 2011, ISBN: 9780123814166. One of the books is enough. Recommended for exchange students.

Contact and other information

Director of studies: studierektor@matstat.lu.se

Syllabus

Kursplan LTH (SV)

Kursplan NF (SV)

Syllabus LTH (EN)

Syllabus NF (EN)