Stochastic Processes with Applications

This course deals with Markov processes. Subjects are:

- Discrete and continuous-time Markov processes on finite and discrete state spaces: transition probabilities, master equation, stationary distribution, ergodicity, generators.

- Diffusion processes: Brownian motion, diffusion equation, diffusion with drift, reversible diffusions, stationary distribution, Fokker-Planck equation.

1. The assessment consists of: homework assignments and written exam. The written exam is scheduled for week 10 of Q2.

2. The resit consists of: homework assignments and written resit. The resit of the written exam is scheduled for week 9 or 10 of Q3.

3. The final grade is composed as follows: The final grade is calculated as max(0.8exam+0.2homework,exam), where the homework grade is determined by the average grade out of the homeworks. The homework grade also counts for the resit, but cannot be transferred to next year.

4. Registration for exams is done via Osiris.

5. Students needing to turn work in late due to personal circumstances must contact the Academic Counsellor prior to turning it in to make arrangements. Other late work might not be graded.