MS-C2111 - Stochastic Processes, Lecture, 1.11.2021-15.12.2021
This course space end date is set to 15.12.2021 Search Courses: MS-C2111
Topic outline
-
Lecture notes
The main course material is the lecture notes. To pass the course with success requires you to study the lecture notes independently, because not everything that is is required in the exam will be discussed during the lectures. The lecture notes are subject to small updates during the course. The lecture notes are available both in English and in Finnish (the latter might be somewhat outdated).
Additional Online Materials
- DA Levin, Y Peres: Markov Chains and Mixing Times. A free online version of an excellent book by David Levin and Yuval Peres.
CM Grinstead, JM Snell: Introduction to Probability. A free online version of a book by Grinstead and Snell.
Books
An excellent book with emphasis on operations research and engineering applications is
- VG Kulkarni. Modeling and Analysis of Stochastic Systems. Chapman and Hall/CRC 2016 (available online from Aalto library).
A large portion of the topics discussed during the course are available for example in the textbooks
- P Brémaud: Markov Chains, Springer 1999.
- R Durrett. Essentials of Stochastic Processes. Springer 2012.
If you are considering to study stochastics all the way up to MSc/DSc level, the following textbook is recommended:
- O Kallenberg: Foundations of Modern Probability. Springer 2002.
- DA Levin, Y Peres: Markov Chains and Mixing Times. A free online version of an excellent book by David Levin and Yuval Peres.