MS-C2111 - Stochastic Processes, Lecture, 23.10.2023-13.12.2023

Topic outline

• Materials
  The main course material is the lecture notes (modified and updated version of the old lecture notes by Lasse Leskelä).  To pass the course with success requires you to study the lecture notes independently, because not everything that is required in the exam will be discussed during the lectures. 
  

  
  

  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.

  
  The lectures will not be recorded or streamed. (If everything works, if you are logged in as a student, you can see recordings from 2021 -- but note that the contents of the course may have changed a bit.)
  
  

  Books

  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. Or the new edition 2021.

  
  

  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.

  
  

  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).