IE 521 Stochastic Processes
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Stochastic processes with independent increments, Wiener process and Poisson process. Non-homogeneous and compound Poisson processes. Discrete time Markov chains (classification of states, ergodic properties), random walks, branching processes. Continuous-time Markov processes, Kolmogorov's differential equations. Birth and death processes, applications to Markov queueing models. Non-Markov processes, renewal process, renewal reward process, alternating and regenerative processes, ergodic theorems. Semi-Markov processes. Applications in reliability and inventory models. Selected topics from stationary processes and time-series.
Credit units: 3 ECTS Credit units: 5.
Spring Semester (Ülkü Gürler)
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