Stochastic Processes I

Singapore University of Social Sciences

Stochastic Processes I (MTH361)

Applications Open: 01 October 2024

Applications Close: 15 November 2024

Next Available Intake: January 2025

Course Types: Modular Undergraduate Course

Language: English

Duration: 6 months

Fees: $1392 View More Details on Fees

Area of Interest: Science and Technology

Schemes: Alumni Continuing Education (ACE)

Funding: To be confirmed

School/Department: School of Science and Technology

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Synopsis

MTH361 Stochastic Processes I introduces the concept of modelling dependence and will focus on discrete-time Markov chains. The purpose of the course is to develop and analyse probability models that capture the salient features under study to predict the short and long term effects that this randomness will have on the systems under consideration. Additionally, computer simulation with Python will also be taught.

Level: 3
Credit Units: 5
Presentation Pattern: EVERY JAN

Topics

Stochastic Processes
Random Walk
Discrete-Time Markov Chains
Chapman-Kolmogorov Equations
Convergence Theorems
Stationary Distributions
Classification of States
Irreducible Markov Chains
Periodic Markov Chain
Limiting Probabilities
Recurring States
Transient States

Learning Outcome

Compute probabilities of events of a Markov chain expectation or expectation of random variables.
Show the validity of given mathematical statements in stochastic processes.
Calculate the stationary distribution in a given Markov chain with finite and irreducible state space.
Determine which states of a given Markov chain are recurrent and which are transient.
Solve for the asymptotic behaviour of Markov chains.
Formulate Markov chain models from word problems.