Introduction to Stochastic Processes

Course aim

To introduce students to concepts of stochastic processes and their analysis by mathematical techniques and simulation.

Course content

Simple Markov chains (discrete time); recurrence, transience, stationary distributions;
Poisson processes (continuous time); Renewal processes, Brownian motion, Elementary stochastic differential equations; Queues and their simple simulations; Modern simulation techniques using Markov Chain Monte Carlo (MCMC).

Textbook(s)

Taha, H. 2007, Operations Research: an Introduction, 8th edition, Pearson Prentice Hall

Prerequisite(s)

Corequisite(s)

Nil

Teaching method

Note: These components may or may not be scheduled in every study period. Please refer to the timetable for further details.

Assessment

Assignment 1, Assignment 2, Final examination

Fees

EFTSL*: 0.125
Commonwealth Supported program (Band 2)
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Fee-paying program for domestic and international students
International students and students undertaking this course as part of a postgraduate fee paying program must refer to the relevant program home page to determine the cost for undertaking this course.

Non-award enrolment
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* Equivalent Full Time Study Load. Please note: all EFTSL values are published and calculated at ten decimal places. Values are displayed to three decimal places for ease of interpretation.