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| MATH0222-3 | Introduction to stochastic processes
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| Duration : | 30h Th, 10h Pr, 20h Mon. WS |
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| Credits/ECTS : |
| Master in Economical Sciences, in-depth approach, 2nd year | | Toute l'année | | 5 |
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| Master in Mathematical Sciences, in-depth approach, 1st year | | Toute l'année | | 10 |
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| Master in Statistics : General, Research focus, 2nd year | | Toute l'année | | 6 |
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| Master in Mathematical Sciences, didactic approach, 1st year | | Toute l'année | | 10 |
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| Master en sciences mathématiques, à finalité spécialisée en gestion, 1st year | | Toute l'année | | 10 |
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| Master en sciences mathématiques, à finalité spécialisée en informatique, 1st year | | Toute l'année | | 10 |
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| Master in Mathematical Sciences, specialized approach, 1st year | | Toute l'année | | 10 |
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| Master in Mathematical Sciences | | Toute l'année | | 10 |
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| Holder(s) : | Gentiane Haesbroeck |
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| Language : | Langue française |
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| Course contents : | The course starts with the description of some of the most wellknown stochastic processes: Poisson processes, Markov chains, random walks, Wiener processes,... Then, applications of stochastic processes are considered, mainly in financial mathematics and queues. |
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| Course objective : | The course aims at developping models to describe a family of dependant random variables and at applying them in real life situations. |
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| Prerequisites : | The courses MATH0253-1 (probability and statistics) and MATH0202-1 (analysis). Moreover, the students are expected to be able to use the R software. |
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| Workshops : | The course contains 10 hours of formal ex-cathedra tutorials given by an assistant while 20 hours will correspond to personnal (home) works for the student. These homeworks will either be spupervised by the assistant (for example in the computer room of the maths department) or will be left for personnal work at home. |
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| Organization : | During the academic year 2008-2009, the course will be taught according to the timetables given to the students at the beginning of the academic year. |
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| Written notes : | Partial notes (theory and exercises) will be given to the students. |
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| Assessment : | The final grade for the cours will be an average based on the two following results:
- note obtained at an oral exam with questions on theory and exercises.
- note based on the personnal work perfomed during the course. |
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| Contacts : | G.HAESBROECK, Institute of mathematics, Building B37, room 0/60, tel: 04/366-95-94,
email: G.Haesbroeck@ulg.ac.be
D. MAGIS, Institute of mathematics, Building B37, tel: 04/366-94-06,
email: cruwet@ulg.ac.be |
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