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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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| Number of credits : |
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| Lecturer : | Gentiane Haesbroeck |
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Language(s) of instruction :
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| French language |
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Course contents :
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| 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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Learning outcomes of the course :
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| 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 and co-requisites/ Recommended optional programme components :
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| 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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Planned learning activities and teaching methods :
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| 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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Mode of delivery (face-to-face ; distance-learning) :
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| The course will be taught during the first semester according to the timetables given to the students at the beginning of the academic year. |
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Recommended or required readings :
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| Partial notes (theory and exercises) will be given to the students. |
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Assessment methods and criteria :
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| 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 :
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| 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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