Stochastic Modelling (U01633)

? Credit Points : 10 ? SCQF Level : 10 ? Acronym : MAT-3-SMo

Core course for Honours Degrees involving Statistics; optional course for Honours degrees involving Mathematics. Syllabus summary: Markov Chains in discrete time: classification of states, first passage and recurrence times, absorption problems, stationary and limiting distributions. Markov Processes in continuous time: Poisson processes, birth-death processes. The Q matrix, forward and backward differential equations, imbedded Markov Chain, stationary distribution.

Entry Requirements

? Pre-requisites : Passes at C or better in MAT-2-FoC, MAT-2-SVC, MAT-2-LiA, MAT-2-MAM; MAT-2-Prb

? Prohibited combinations : MAT-3-SMoO, similar courses from Mathematics 3 (Hons) prior to 2004-05

Subject Areas

Home subject area

Specialist Mathematics & Statistics (Honours), (School of Mathematics, Schedule P)

Delivery Information

? Normal year taken : 3rd year

? Delivery Period : Semester 2 (Blocks 3-4)

? Contact Teaching Time : 2 hour(s) per week for 11 weeks

First Class Information

Date	Start	End	Room	Area	Additional Information
07/01/2008	09:00	10:00	Lecture Theatre 6301, JCMB	KB

All of the following classes

Type	Day	Start	End	Area
Lecture	Monday	09:00	09:50	KB
Lecture	Thursday	09:00	09:50	KB

Summary of Intended Learning Outcomes

1. Ability to solve difference equations using generating functions, using P.S.+C.S.
2. Ability to classify states of a Markov Chain.
3. Ability to calculate mean first passage and recurrence times for an irreducible recurrent state Markov Chain.
4. Calculation of absorption probabilities for a Markov Chain with recurrent classes and transient states.
5. Understanding stationary and limiting behaviour and deriving these probability distributions.
6. Appreciating the range of applications, together with a facility to model appropriate problems in terms of a stochastic process.