Basic probabilistic problems and methods in operations research and Applied Mathematics. Methods of problem formulation and solution. The course will cover basicstochastic processes such as simple random walk, Markov chains, Martingales, Poisson processes,and Brownian motion.
and their probability distributions, relation with distribution functions. Expectations, conditioning with respect to a class of random variables. Stochastic processes, finite dimensional probabilities, independent processes. Discrete Markov chains, transition probabilities, recurrence, long term distributions. Continuous time Markov chains, Jump processes, birth-death processes, Poisson processes, Weiner processes.
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