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Markov sequences and
processes: Markov chain sequences, stationary and steady-state
distributions, ergodicity, Markov chain processes, Kolmogorov and
Fokker-Planck equations, Poisson processes, queueing models.
Independent and orthogonal increment processes: Brownian motion,
Wiener and Poisson processes
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Main textbooks: |
J. Lamperti,
Stochastic Processes:
a Survey
of the Mathematical
Theory,
Springer, 1977.
S. Karlin, M.
Howard,
A First
Course
in Stochastic
Processes,
Academic Press,
1975. |
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Auxiliary
textbooks: |
Z. Brzezniak, T.
Zastawniak,
Basic Stochastic
Ğrocesses:
A Course
Through
Exercises,
Springer, 1998.
W. Paul, Jörg
Baschna,
Stochastic Processes:
From
Physics
to Finance.
Springer, 1999.
G. Grimmett, D.
Stirzaker,
Probability and random processes,
Oxford University Press, 2001. |
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