Faculty of Science

Objectives

To introduce students to the theory of stochastic processes.

Contents

Definition of a stochastic process; Finite dimensional distributions of stochastic processes; Construction of stochastic processes with predefined finite dimensional distributions; Kolmogorovs theorem on the existence of random processes; Construction of a markov process with given transition probabilities; Processes with stationary and independent increments, Random walks, renewal theory.

Prerequisite: