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

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