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Stat 612 Stochastic Processes (3 Credits)
Markov chains: Transition matrix. Determination of n-step transition probabilities. Classification of chains and states of chains. First passage time. Simple random walk.
Markov processes: Poisson process, birth-death process and applications to queues. Polya process. Kolmogorov’s forward and backward differential equations and their solution in simple cases.
Branching processes. Stationary process. General random walk.
References:
1) Ross, S. (1980) , Stochastic Processes John Wiley and Sons, N.Y.
2) Lawler , G. F. , (1995) , Introduction to Stochastic Processes , Chapman & Hall , U.K.
3) Bhat, U. (1990) , Elements of Applied Stochastic Processes, John Wiley and Sons, N.Y.
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