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Applied Stochastic Processes
Last Updated: 2026-02-05 15:55:00
Abstract
Poisson processes; renewal processes; Markov chains in discrete and in continuous time; some applications.
Objective
Stochastic processes are a way to describe and study the behaviour of systems that evolve in some random way. In this course, the evolution will be with respect to a scalar parameter interpreted as time, so that we discuss the temporal evolution of the system. We present several classes of stochastic processes, analyse their properties and behaviour and show by some examples how they can be used. The main emphasis is on theory; in that sense, "applied" should be understood to mean "applicable".
Resources
Literature
R. N. Bhattacharya and E. C. Waymire, "Stochastic Processes with Applications", SIAM (2009), available online: http://epubs.siam.org/doi/book/10.1137/1.9780898718997 R. Durrett, "Essentials of Stochastic Processes", Springer (2012), available online: http://link.springer.com/book/10.1007/978-1-4614-3615-7/page/1 M. Lefebvre, "Applied Stochastic Processes", Springer (2007), available online: http://link.springer.com/book/10.1007/978-0-387-48976-6/page/1 S. I. Resnick, "Adventures in Stochastic Processes", Birkhäuser (2005)
Learning Materials (Links)
- Main link
- Information
General Information
- Language
- English
- Levels
- BSC , MSC
- Frequency
- Every two years
Examination
- Type
- session examination
- Mode
- oral 30 minutes
Course Components
| Type | Title | Time & Place | Hours |
|---|---|---|---|
| lecture | Applied Stochastic Processes |
|
3 h weekly |
| exercise |
Applied Stochastic Processes
Groups are selected in myStudies.
Thu 9-10 or Thu 12-13
|
|
1 h weekly |
Offered In
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Core Courses (For the Master's degree in Applied Mathematics the following additional condition (not manifest in myStudies) must be obeyed: At least 15 of the required 28 credits from core courses and electives must be acquired in areas of applied mathematics and further application-oriented fields.)
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Computational Biology and Bioinformatics Master (More informations at: )
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Advanced Courses (A total of 30 ECTS needs to be acquired in the Advanced Courses category. Thereof 18 ECTS in the Theory and 12 ECTS in the Biology category. Note that some of the lectures are being recorded: )
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Theory (At least 18 ECTS need to be acquired in this category.)
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Statistics Master (The following courses belong to the curriculum of the Master's Programme in Statistics. The corresponding credits do not count as external credits even for course units where an enrolment at ETH Zurich is not possible.)
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