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course

COURSE OUTLINE

Probability Review and Introduction to Stochastic Processes

(SPs): Probability spaces, random variables and probability

distributions, expectations, transforms and generating

functions, convergence, LLNs, CLT. Definition, examples and

classification of random processes according to state space

and parameter space.

Discrete and Continuous-time Markov Chains (MCs): Transition

probability matrix, Chapman-Kolmogorov equations; n-step

transition and limiting probabilities, ergodicity, stationary

distribution, random walk and gamblers ruin problem,

applications of DTMCs. Kolmogorov differential equations for

CTMCs, infinitesimal generator, Poisson and birth-death

processes, Applications to queueing theory, inventory analysis,

communication networks, and finance.

Brownian Motion: Wiener process as a limit of random walk;

first -passage time and other problems, applications to finance.

Branching Processes: Definition and examples branching

processes, probability generating function, mean and variance,

Galton-Watson brancing process, probability of extinction.

Renewal Processes: Renewal function and its properties,

renewal theorems, cost/rewards associated with renewals,

Markov renewal and regenerative processes, applications.

Stationary Processes: Weakly stationary and strongly

stationary processes, moving average and auto regressive

processes.

Martingales: Conditional expectations, definition and examples

of martingales, inequality, convergence and smoothing

properties, applications in finance.

COURSE DETAIL

Module

No.

Topic/s

Probability

Theory Refresher:

A xiomatic construction of probability

spaces, random variables and vectors,

Lectures

NPTEL

http://nptel.iitm.ac.in

Mathematics

Pre-requisites:

Probability Theory and

Calculus

Additional Reading:

1. P. G. Hoel, S. C. Port and

C. J. Stone, Introduction

to Probability Theory,

Universal Book Stall,

2000.

2. S.M. Ross, An

Introduction to

Probability Models, 9th

Edition, Academic Press,

2006.

Coordinators:

Dr. N. Selvaraju

Department of MathematicsIIT

Guwahati

Dr. S. Dharmaraja

Department of MathematicsIIT

Delhi

random

variables;

mathematical

expectations, transforms and generating

functions, modes of convergence of

sequences of random variables, laws of

large numbers, central limit theorem.

(SPs): Definition and examples of SPs,

classification of random processes

according to state space and parameter

space, types of SPs, elementary

problems.

Definition and examples of MCs,

transition probability matrix, ChapmanKolmogorov equations; calculation of nstep transition probabilities, limiting

probabilities, classification of states,

ergodicity,

stationary

distribution,

transient MC; random walk and

gamblers ruin problem, applications.

Continuous-time

Markov Chains

(MC s): Kolmogorov- Feller differential

equations,

infinitesimal

generator,

Poisson process, birth-death process,

Applications

to

queueing

theory,

inventory

analysis,

communication

networks, finance and biology.

a limit of random walk; first -passage

time and other problems, applications to

finance.

examples

branching

processes,

probability generating function, mean

and variance, Galton-Watson branching

process, probability of extinction.

and its properties, elementary and key

r e n e w a l theorems,

cost/rewards

associated with renewals, Markov

renewal and regenerative processes,

applications.

Stationary

Processes:

Weakly

stationary and strongly stationary

processes, moving average and auto

regressive processes.

definition and examples of martingales,

inequality, convergence and smoothing

properties, applications in finance.

References:

1. G. R. Grimmett and D. R. Stirzaker, Probability and

Random Processes, 3rd Edition, Oxford University Press,

2001.

2. S.M. Ross, Stochastic Processes, 2nd Edition, Wiley, 1996

(WSE Edition).

3. J. Medhi, Stochastic Processes, 3rd Edition, New Age

International, 2009.

4. H.M. Taylor and S. Karlin, An Introduction to Stochastic

Modeling, 3rd Edition, Academic Press, New York, 1998.

A joint venture by IISc and IITs, funded by MHRD, Govt of India

http://nptel.iitm.ac.in

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