**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, 3^{rd} edition, New Age International Publishers, 2009.

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

3.
A First Course in
Stochastic Processes, ^{nd}
edition, 1975.

**Reference Books**

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

3. An
Introduction to Stochastic Modeling,

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

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 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.