DEPARTMENT OF MATHEMATICS

MTL 725 (3-0-0) Stochastic Processes and Applications

 

II Semester 2017-18

Lecture Classes (Slot D): Tuesday and Friday between 3:30 PM and 5:00 PM in LH 517.

Pre-requisite: MTL108 or MTL601

INFORMATION SHEET

 

Course contents

 

Stochastic processes, specification of stochastic processes, stationary processes, applications in engineering

(No. of Lectures - 4)

 

Renewal processes and theory, Markov renewal, semi-Markov processes, Markov regenerative processes, applications in communication systems

(No. of Lectures - 10)

 

Markov processes with continuous state space, martingales, applications in financial mathematics

(No. of Lectures - 14)

 

Markov chains, discrete time and continuous time Markov chains, branching processes, birth and death processes, applications in queueing systems

 

(No. of Lectures - 14)

 

Main Text Books

1.     Stochastic Processes, J Medhi, 3rd edition, New Age International Publishers, 2009.

2.     Stochastic Processes, Video course, NPTEL Phase II.

3.     A First Course in Stochastic Processes, S Karlin and H M Taylor, Academic Press, 2nd edition, 1975.

Reference Books

1.     Introduction to Probability and Stochastic Processes with Applications, Liliana Blanco Castaneda, Viswanathan Arunachalam, Selvamuthu Dharmaraja, Wiley, New Jersey, June 2012.

2.     Stochastic Processes, Sheldon M. Ross, 2nd edition, John Wiley, 1995.

3.     An Introduction to Stochastic Modeling, S Karlin and H M Taylor, Elsevier, 1998.

4.     Introduction to Stochastic Process, A K Basu, Narosa Publishing House, 2003.

 

Tutorial Sheets

Note: It seems, some students found that the answers provided for few problems in the following tutorial sheets are not correct. Please let me know these errors by email.

Tutorial Sheet 1 Answer


Tutorial Sheet 2 Answer


Tutorial Sheet 3 Answer


Tutorial Sheet 4 Answer


Tutorial Sheet 5 Answer


Tutorial Sheet 6 Answer


This page maintained by Dr. S. Dharmaraja mailto:dharmar@maths.iitd.ac.in and last updated Thursday, Jan. 18, 2018.