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Stochastic Processes 1 - NMSA334

Title:	Náhodné procesy 1
Guaranteed by:	Department of Probability and Mathematical Statistics (32-KPMS)
Faculty:	Faculty of Mathematics and Physics
Actual:	from 2016 to 2017
Semester:	summer
E-Credits:	8
Hours per week, examination:	summer s.:4/2, C+Ex [HT]
Capacity:	unlimited
Min. number of students:	unlimited
4EU+:	no
Virtual mobility / capacity:	no
State of the course:	taught
Language:	Czech
Teaching methods:	full-time
Teaching methods:	full-time

Guarantor:	doc. RNDr. Petr Lachout, CSc.
Class:	M Bc. FM M Bc. FM > Doporučené volitelné M Bc. OM M Bc. OM > Povinně volitelné M Bc. OM > Zaměření STOCH
Classification:	Mathematics > Probability and Statistics
Co-requisite :	NMSA333
Incompatibility :	NSTP238
Interchangeability :	NSTP238
Is interchangeable with:	NSTP238, NSTP198
In complex pre-requisite:	NMSA349

Annotation -

Last update: G_M (16.05.2012)

Markov chains with discrete and continuous time. Recommended for bachelor's program in General Mathematics, specialization Stochastics.

Aim of the course -

Last update: G_M (27.04.2012)

The aim of the subject is to provide an overview of Markov processes with discrete states and their applications to real dynamic events modelling.

Literature - Czech

Last update: doc. RNDr. Zuzana Prášková, CSc. (04.09.2012)

Prášková, Z., Lachout, P.: Základy náhodných procesů I, matfyzpress, Praha 2012

Prášková, Z., Lachout, P.: Základy náhodných procesů. Karolinum, Praha 2005.

Teaching methods -

Last update: T_KPMS (16.05.2012)

Lecture+exercises.

Syllabus -

Last update: doc. RNDr. Zuzana Prášková, CSc. (04.09.2012)

Basic properties of stochastic processes.

Discrete time Markov chains. Markov chains with rewards.

Continuous time Markov chains. Poisson process, Birth and Death processes,

Markov queuing models.