Course Details for A.Y. 2018/2019
Name:
Stochastic Processes / Stochastic Processes
Basic information
Credits:
: Laurea Magistrale in Ingegneria Informatica e Automatica 6 CFU (c)
Degree(s):
Laurea Magistrale in Ingegneria Informatica e Automatica 1st anno curriculum Generale Elective
Laurea Magistrale in Ingegneria Informatica e Automatica 1st anno curriculum Automatica Elective
Laurea Magistrale in Ingegneria Informatica e Automatica 1st anno curriculum Informatica Elective
Language:
English
Course Objectives
The course aims to give an introduction to the theory of stochastic processes with special emphasis on applications and examples. On successful completion of this module the students should become familiar with some of the most known classes of stochastic processes (such as martingales, markov processes, diffusion processes) and to acquire both the mathematical tools and intuition for being able to describe systems with randomness evolving in time in terms of a probability model and to analyze it charcterizing some of its properties
Learning Outcomes (Dublin Descriptors)
On successful completion of this course, the student should
- have knowledge of language, basic concepts and techniques of the Theory of stochastic processes, have knowledge and understanding of some relevant classes of processes (Markov processes, Martingales, Diffusions) and their properties, have knowledge and understanding of tha main mathematical tools and results on Stochastic calculus and be aware of its potential applications
- be able to identify, analyse and prove relevant properties of models based on stochastic processes, be able to solve problems related to such models
- evaluate the possible approaches to modeling a system with randomness using a stochastic process, be able to select the most appropriate one, to discuss its fundamental futures and to compare it with other models
- demonstrate ability to describe complex systems and problems in a probabilistic way, explain them in terms of stochastic dynamics, to illustrate and give rigorous proofs of their main features
- demonstrate capacity for reading and understanding texts and research papers on related topics
Prerequisites and Learning Activities
Probability theory (probability spaces, conditional probability, independence, product spaces, random variables and their distributions, expectation, convergence, limit theorems for sequences of random variables), real analysis, basics on measure theory and Lebesgue integral, basics on discrete times markov chains
Assessment Methods and Criteria
Written and oral exam.
Course page updates
This course page is available (with possible updates) also for the following academic years:
To read the current information on this course, if it is still available, go to the university course catalogue .
Course information last updated on: 09 febbraio 2018, 11:07