Yearbooks

Stochastic processes 312


 
Modulekode WST 312
Kwalifikasie Undergraduate
Fakulteit Faculty of Economic and Management Sciences
Module-inhoud

Definition of a stochastic process. Stationarity. Covariance stationary. Markov property. Random walk. Brownian motion. Markov chains. Chapman-Kolmogorov equations. Recurrent and transient states. First passage time. Occupation times. Markov jump processes. Poisson process. Birth and death processes. Structures of processes. Structure of the time-homogeneous Markov jump process. Applications in insurance. Practical statistical modelling, analysis and simulation using statistical computer packages and the interpretation of the output.

Modulekrediete 18.00
Service modules Faculty of Economic and Management Sciences
Faculty of Natural and Agricultural Sciences
Prerequisites WST 211, WST 221, WTW 211 GS and WTW 218 GS
Contact time 1 practical per week, 2 lectures per week
Language of tuition Module is presented in English
Department Statistics
Period of presentation Semester 1

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