Stochastic Processes

Description

Definition of a stochastic process - Classification of the stochastic processes - Stochastic dependence - Martingales - The Markov property - The strong Markov property - Classification of the states - Classifications of the Markov chains - The matrix method - Regular chains - Cyclic chains - Inverse Markov chains - General properties of Markov chains - Extension of the Markov property - The ergodic behaviour - Random walks - Galton-Watson Processes (or Branching Processes), Processes with independent increments - The Poisson process - The Wiener process - The Brownian motion - Continuous parameter Markov processes - The transition probability function - Kolmogorov’s equations - Feller’s algorithm - Noteworthy classes of Markov processes - Renewal Processes - Diffusion processes - Applications.

Course Coordinators

Books: 
Στοιχεία Θεωρίας Στοχαστικών Ανελίξεων της Σ. Καλπαζίδου.
Semester: 
Units: 
3
Credit Units (ECTS): 
5.0
Hours: 
3ώρες
ID: 
0563
Course Type: 
X