DMS214 Random Processes

Code DMS214
Name Random Processes
Status Compulsory/Courses of Limited Choice
Level and type Undergraduate Studies, Academic
Field of study Mathematics and Statistics
Faculty
Academic staff Kārlis Šadurskis, Nataļja Budkina, Aija Pola, Andrejs Matvejevs, Oksana Pavļenko, Marija Dobkeviča, Jolanta Goldšteine
Credit points 2.0 (3.0 ECTS)
Parts 1
Annotation Definition and application of random process. Multivariate distributions. Correlation theory. Classification of processes. Stationary processes. Markov chain with discrete and continuous time. Markov processes. Gussian processes. Imitation of random processes..
Goals and objectives
of the course in terms
of competences and skills
Objective of the course is to acquaint students with basics of random processes theory and its mathematical apparatus, assiduity to Markov chains allow to understand the regularities of the random dynamic phenomena.
Learning outcomes
and assessment
Discrete time Markov chains. Ability to construct transition probability matrix and apply it for calculation of characteristics of the chain, to find stationary distribution both theoretically and with immitation model. - Problems included in homework 1
Continuous time Markov chains. Ability to construct transition density matrix and apply it for calculation of characteristics of the chain, to find stationary distribution both theoretically and with immitation model. - Problems included in homework 2
Random processes' correlation theory. Markov processes. The major know-how for analysis of Markov chains. - Problems included in the exam
Course prerequisites

[Extended course information PDF]