Stochastic Processes

Course Information:

Course ID:GEnvE 881
Type of Course:Elective
Semester:Spring

Instructor: Assistant Professor T. Daras

Recommended Reading:

(Α) In Greek

  • P.-Χ. G. Vasileiou, “Stochastic methods in Operations Research”, Ed. Ziti, 1999.
  • Τ. Daras - P. Sypsas, “Stochastic processes: theory and applications”, Εd. Ziti, 2003.
  • T.Ν. Kakkoulos, “Stochastic processes”, 2nd ed., 1978
  • D. Fakinos, “Stochastic methods in Operations Research”, Vol. Ι, ΙΙ 1994.
  • Course notes: eclass.tuc.gr

(Β) In English

  • U.N. Bhat, “Elements of Applied Stochastic Processes” , 2nd ed. (1984), J. Willey
  • S. Karlin, H.M.Taylor, “A first course in Stochastic Processes”, Academic Press, New York, 1975
  • S. Karlin, H.M.Taylor, “An introduction to Stochastic Modeling”, Acade­mic press, New York, 1984
  • S. Resnick, “Adventures in Stochastic Processes” Birkhauser (Boston) 1992.

Eclass:

  • Registration required

Course objectives:

On many occasions we want to describe phenomena which evolve with respect to time or space, phenomena such as the change of population in a specific region in a country, the number of faults on a leaf of metal, the number of planes that reach an airport for the duration of a certain time interval e.t.c. The study of these phenomena is feasible with the help of Probability Theory and the construction of mathematical models with the use of families of random variables (stochastic processes), which satisfy certain characteristic attributes in each case. The most basic and most important types of stochastic processes are described in this course and characteristic examples are given.

Course contents:

  • Basic topics of Probability Theory
  • Stochastic processes
  • Markov chains
  • Poisson Processes
  • Queuing  theory
  • Birth and death processes
  • Branching chains

Assessment method:

  • Homework problems (20%)
  • Final Exam (80%)

Last modification: 09-10-2018